Active-Passive Navigator: May 2020 · The Active-Passive Navigator contains a comprehensive...

ETF Research & Solutions | Active-Passive Navigator 03 July 2020 1

This document is for the exclusive use of investors acting on their own account and categorised either as “Eligible Counterparties” or “Professional Clients” within the meaning of Markets in Financial Instruments Directive 2014/65/EU. This document is reserved and must be given in Switzerland exclusively to Qualified Investors as defined by the Swiss Collective Investment Scheme Act of 23 June 2006 (as amended from time to time, CISA).

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Active-Passive Navigator: May 2020 The Active-Passive Navigator contains a comprehensive analysis of the performance of active managers over the last 10 years. We also assess the main trends that influenced global market performance and how well active managers generated alpha from January to May 2020.

Equities Fixed Income

In Q1 2020, active small-cap funds strongly outperformed their benchmarks. US active funds did better than average, supported by higher sector bias towards the tech sector. In contrast, active funds underperformed in Japan, the UK, and EM.

From March to the end of May, small-cap funds continued to shine. Equity funds with an exposure to Japan, the UK and EM performed better. Outperforming benchmarks was more challenging for US and Developed Markets large-cap funds. Performance was also mixed for EMU large cap funds.

In Q1 2020, most active fixed income funds were caught off guard. Investors were better off with passive funds in most fixed income segments with the notable exception of High Yield (HY).

From March to the end of May, range-bound yields and the normalisation of credit spreads allowed sovereign and flexible funds to regain some of the lost ground in Q1. EM HC debt funds did well thanks to the improved market environment allowing for relative value plays. In contrast, HY funds gave up all their advances, due to broad-based spread tightening and massive flows in the sub asset class.

2020: Year to date performances (in %, in EUR)

Source: Morningstar, Lyxor International Asset Management. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

Lyxor Research Contributors

ETF Research & Solutions

Vincent Denoiseux (Head)

[email protected]

Cross Asset Research

Jean-Baptiste Berthon (Senior strategist) [email protected]

Summary

Active funds through the storm 2

Active management in 2019 6

The long-term view 7

Methodology 10

Glossary 11

Asset Class Deep-Dive 19

(30) (25) (20) (15) (10) (5)

- 5

10 15

Active (equal-weighted average of active performances)Benchmark

mailto:[email protected]

mailto:[email protected]



Active funds through the storm

Equity: Three key market phases so far in 2020

Phase 1 (January – February): a strong start

Receding political uncertainty (the ‘Phase One’ trade

agreement between the US and China and perception of

lower hard-Brexit risks) and prospects of a mid-cycle

recovery supported market performance during first

two months of the year. This allowed for greater sector

and factor differentiation. Cyclical sectors outperformed,

as did Growth and Quality factor stocks.

Equities most sensitive to domestic activity such as small

caps outperformed both in Europe and in the US.

Conversely, large-cap active funds, less sensitive to

domestic factors, underperformed passive managers.

Alpha generation was poor in Japan, where equities took

a larger-than-expected hit from the consumption tax hike

and stock dispersion was low.

Phase 2 (March – April): volatility and dispersion

The supportive market environment was challenged

after mid-February when the spread of the Covid-19

turned into a pandemic. The sudden halt in economic

activity triggered bouts of volatility with heavy selloffs

across the board. Extreme market gyrations were driven

by many factors, speculative in nature, including the

spreading pace of the virus, unprecedented stimulus

decisions, a self-inflicted oil price war

Corporate fundamentals were of little relevance considering the unprecedented shock to activity over the period. It challenged most fundamentally-driven stock-picking styles. Market timing, sector arbitrage and risk management were instead the key differentiating factors when comparing the performance of active managers.

Small-cap active funds strongly outperformed their

benchmarks and were able to position on sector rotation

(out of consumer discretionary, energy, financial, value

stocks and into defensives, growth and quality).

Global and eurozone equity funds successfully navigated

regional stock dispersion resulting from uneven

governmental response to the outbreak. Most of these

funds sufficiently maintained their overall exposures to

benefit from the market rally that started in the last week

of March.

In contrast, UK large-cap and EM investors were better

off in passive funds. The strong reversal in

defensive/cyclical performance affected UK large-cap

indices the most. EM equities suffered record outflows in

dislocated markets and poor liquidity conditions. Active

managers in EM equities struggled to capture the

2020 has been so far a year of two halves for equities YTD Performance of the main equity indices (Net total return, in EUR, base 100 = 01/01/2020)

Source: Bloomberg, Lyxor International Asset Management, data as at 17/06/2020. Past performance is not a reliable indicator of future performance.

Equity volatility abated after March highs Index values of the major volatility indices

Source: Bloomberg, Lyxor International Asset Management, data as at 17/06/2020. Past performance is not a reliable indicator of future performance.

Equity Managers’ Alpha in 2020 (YtD) Equal-weighted average of the relative performance of active funds by exposure (in EUR)

Exposure Funds

Return (ew)

Excess

Return (ew)

US Small Cap -7.6% 7.7%

Europe Small Cap -11.9% 4.8%

UK Small Cap -21.8% 4.6%

Germany Small/Mid cap -6.8% 2.3%

Europe Large Cap -13.4% 2.0%

France Large Cap -18.8% 1.1%

Eurozone Large Cap -15.4% 1.0%

UK Large Cap -22.9% 0.6%

Japan Large Cap -6.4% -0.1%

Emerging Equities -16.1% -0.9%

World Large Cap -8.4% -1.0%

Germany Large Cap -13.4% -1.2%

US Large Cap Blend -5.1% -1.4% Source: Morningstar, Lyxor International Asset Management. Excess Return is calculated against each respective Benchmark, gross of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

60

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95

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Jan 20 Feb 20 Mar 20 Apr 20 May 20

S&P 500 EuroSTOXX 50 Nikkei

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40

60

80

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Jan 20 Feb 20 Mar 20 Apr 20 May 20S&P 500 Volatility (VIX)EuroSTOXX 50 Volatility (VSTOXX)Nikkei 225 Volatility (VNKY)



outperformance of Chinese equities and of some other

EM Asia countries compared to other EM blocks.

Phase 3 (March – May): Small-caps funds shine

The initial phase of the rebound between March and May

was driven more by technical buy-on-dips and monetary

injections than fundamentals. Limited sector dispersion

did not leave much room for alpha generation,

particularly in the US.

In this context, a handful of large-cap funds outperformed

and most maintained a portfolio beta below 1. A cautious

stance was also maintained on sector and factor

exposures. While US and DM large-cap funds lost some

ground over the period, UK managers benefited from

greater stock dispersion and a weaker GBP due to Brexit

tensions and a worsening economic outlook.

Funds exposed to Japanese equities regained the

ground they lost in Q1, thanks to high stock dispersion.

Japan’s relative insulation from Covid-19 and a milder

impact on activity made room for fundamental

approaches on stock selection.

The mixed performance of small-cap indices and high

stock dispersion during the market rebound supported

active managers. Fundamental approaches were also

favoured by the temporary rebound of value stocks

thanks to unprecedented monetary and fiscal support.

Equity Managers’ Hit Ratio in 2020 (YtD) Percentage of reporting active funds outperforming their respective Net Benchmark (in %, returns in EUR)

Exposure Hit Ratio

Europe Small Cap 73%

UK Small Cap 71%

Germany Small/Mid cap 68%

Europe Large Cap 67%

US Small Cap 66%

Eurozone Large Cap 59%

UK Large Cap 55%

France Large Cap 55%

Japan Large Cap 44%

Germany Large Cap 42%

World Large Cap 41%

Emerging Equities 36%

US Large Cap Blend 35%

Average 55%

Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against each respective Net Benchmark, i.e. net of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

Europe Small Cap managers have outperformed

Wealth curve (basis 100 in 31/04/2019) and Excess Return of

active Europe Small Cap funds (in EUR)

Source: Morningstar, Lyxor International Asset Management. Excess Return is calculated against each respective Benchmark, net of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

-4.0

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Apr 19 Jul 19 Oct 19 Jan 20 Apr 20

Excess Return (rhs) Active Funds (ew)

Net Benchmark



Fixed Income: most active managers faced a perfect storm

Most fixed income managers were caught off guard

in Q1, particularly those with US Treasuries exposures.

The impressive rally in US Treasuries was hard to beat,

particularly with the unexpected Fed rate cut early

March at an unscheduled meeting.

Moreover, fixed income managers struggled to

navigate the US yield curve in the first part of Q1 when

economic activity was gaining traction. The flattening

move was followed by a sudden steepening when it

became clear that the global economy will experience

its steepest recession since WWII.

Active managers were also generally long inflation

breakevens before demand for oil vanished and a price

war among producers triggered an 80% plunge in oil

prices. It was also particularly challenging to predict

and position ahead of the avalanche of monetary and

fiscal stimulus. Funds with the longest duration proved

the most resilient. Funds allocated in the European

debt markets only modestly underperformed. The

uneven governmental response to the pandemic was

reflected in a wider dispersion in government bond

yields across the euro area.

Flexible managers in Europe and the US strongly

underperformed. Only those holding long duration

hedges proved resilient, especially in the US.

IG Credit managers moderately underperformed.

Active managers with investment-grade exposures

tend to structurally boost their portfolio beta,

particularly in buoyant liquidity conditions. Hence, the

hit when the credit market downturn started. Some

were able to benefit from appealing valuations in

primary markets.

HY managers stood out in Q1 both in the US and Europe. The market downturn was particularly severe for high-yield bonds. Liquidity dried up, with record outflows and surging bid-ask spreads. Implied volatility levels in the credit market shot up to levels not seen since the height of the 2008 global financial crisis. Primary dealers’ corporate bond balances shrunk. Credit managers had limited deep HY/distressed positions. Some took the opportunity to de-risk portfolios during the equities selloff, just a week before the credit market selloff.

Fixed Income Managers’ Alpha in 2020 (YtD) Equal-weighted average of the relative performance of active funds by exposure (in EUR)

Exposure Funds Return

(ew)

Excess

Return (ew)

Euro High Yield -7.2% -0.1%

Euro Corporate -3.0% -0.5%

EM Debt Hard Currency -5.7% -0.5%

US High Yield -4.4% -0.5%

US Corporate 3.2% -0.7%

Euro Government 0.1% -0.9%

Euro Aggregate -1.7% -1.9%

Global Fixed Income 0.8% -2.2%

US Government 6.6% -3.0%

US Aggregate 3.4% -3.0% Source: Morningstar, Lyxor International Asset Management. Excess Return is calculated against each respective Benchmark, gross of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

Elevated credit spread across EUR and USD segments Investment Grade option-adjusted spreads (in %)

High Yield credit spreads across 2020 (in bps)

Source: Bloomberg, Lyxor International Asset Management, data as at 27/05/2020. Past performance is not a reliable indicator of future returns.

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Bbg Barclays US Agg IG Corp. Avg OAS (%)

Bberg Barclays EuroAgg IG Corp. AvgeOAS (%)

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Bbg Barclays US High Yield Spread (CDX, bps)Bbg Barclays EUR High Yield Spread (iTraxx, bps)



Some improvements for FI managers between March

and May, with one exception

Sovereign bond managers recovered amid range-

trading interest rates. Unprecedented monetary and

fiscal easing kept government yields low, contrasting

with the rally in cyclical assets.

In the US, active managers generally increased their net

long exposures. They positioned for the collapse in real

yield in the short end of the yield curve and increased

exposure to US inflation breakevens. They also

benefited from the modest steepening of the curve.

Funds in Europe did well from March. Aggressive

monetary easing from the ECB and intensifying asset

purchases pushed managers to position on steepeners

and inflation breakevens. The France-Germany initiative

on a European Recovery fund was also supportive.

While many hurdles remain for a formal EU approval,

peripheral spreads tightened and benefited most

managers.

Flexible managers (global aggregate) regained some

of the lost ground in Q1. US managers benefited from

the steepening yield curve and breakeven inflation.

European managers gained from spread tightening in

peripheral countries (Italy, Spain, Greece, Portugal).

There was little directionality in credit markets until late

May. Managers that added convertible bonds to their

portfolio outperformed over the period, particularly in the

US. The strong demand for new high-grade issues

reduced the concession discounts: primary issuance

was not a meaningful contribution.

HY managers were the worst performers over the

second half of the March-May period. In the US HY

market, higher quality bonds led the rally and benefited

active managers. Yet, managers struggle to beat their

benchmarks, which were propelled by accelerating

spread tightening and flows rushing in the space. The

contraction of the HY segment did not help. The addition

of fallen angels was offset by the exit of defaulted debt

and issues either called or maturing. Lower dispersion

in bond returns and stretched valuations pushed active

managers to reduce some of their exposure and miss

part of the rally. In Europe, dispersion was low and

spreads tightened across the board. The

underperformance of HY managers in April and May

erased all their relative gains made in Q1.

EM HC Debt managers were more aggressive in

adding risks compared to their Developed Market

counterparts. The EM debt market was supported by

improved global funding and liquidity conditions along

with a weaker USD and supportive EM central bank

policies. Improving trading conditions and greater

dispersion across EM issues allowed for selection

based on fundamentals and alpha generation.

Investment Grade Credit managers have underperformed Wealth curve (basis 100 in 31/04/2019) and Excess Return of EUR Corporate active funds (in EUR)

Source: Morningstar, Lyxor International Asset Management. Excess Return is calculated against each respective Benchmark, net of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

Fixed Income Managers’ Hit Ratio in 2020 (YtD) Percentage of reporting active funds outperforming their respective Net Benchmark (in %, returns in EUR

)Exposure Hit Ratio

Euro High Yield 56%

EM Debt Hard Currency 46%

US High Yield 45%

US Corporate 40%

Euro Corporate 34%

Global Fixed Income 32%

US Aggregate 26%

Euro Government 22%

US Government 20%

Euro Aggregate 14%

Average 34%

Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against each respective Net Benchmark, ie net of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

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105

Apr 19 Jul 19 Oct 19 Jan 20 Apr 20

Excess Return (rhs) Active Funds (ew)

Net Benchmark



Active management performance in 2019

In 2019, the ability of active managers to outperform vastly differed across exposures. On average, 42% of

equity fund managers (35% of fixed income fund managers, respectively) outperformed their benchmarks

over the year (using a simple average across exposures).

Equity

Exposure Hit Ratio

US Small Cap 65%

Germany Large Cap 63%

UK Large Cap 62%

Emerging Equities 60%

Japan Large Cap 48%

UK Small Cap 40%

Europe Small Cap 39%

Europe Large Cap 39%

Eurozone Large Cap 39%

US Large Cap Blend 25%

France Large Cap 24%

World Large Cap 22%

Germany Small/Mid cap 18%

Average 42%

Exposure Funds Return (ew) Excess Return (ew)

US Small Cap 29.5% 2.2%

Emerging Equities 21.7% 1.1%

UK Large Cap 27.0% 0.7%

Germany Large Cap 23.2% 0.2%

Japan Large Cap 21.5% -0.3%

Europe Large Cap 24.3% -1.7%

Eurozone Large Cap 23.1% -2.4%

US Large Cap Blend 30.0% -3.3%

France Large Cap 24.2% -3.8%

Europe Small Cap 27.3% -4.1%

World Large Cap 25.7% -4.3%

UK Small Cap 33.3% -4.5%

Germany Small/Mid cap 21.9% -9.5%

Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against the Benchmark, net of fees. Excess Return is calculated against each respective Benchmark, gross of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.

Fixed Income

Exposure Hit Ratio

US High Yield 45%

Euro Corporate 43%

Global Fixed Income 42%

US Aggregate 41%

US Corporate 36%

Euro Government 35%

Euro Aggregate 31%

EM Debt Hard Currency 31%

US Government 27%

Euro High Yield 20%

Average 35%

Exposure Funds Return (ew) Excess Return (ew)

Euro Corporate 5.6% -0.7%

US Aggregate 9.7% -1.0%

Global Fixed Income 7.8% -1.0%

US Government 7.6% -1.2%

US High Yield 15.0% -1.5%

Euro Aggregate 4.3% -1.7%

Euro Government 4.5% -1.8%

US Corporate 14.1% -2.5%

Euro High Yield 8.7% -2.6%

EM Debt Hard Currency 14.1% -3.1%

Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against the Benchmark, net of fees. Excess Return is calculated against the Benchmark, gross of fees. Performances as at 31/05/2020, data was collected on 17/06/2020. Past performance is not indicative of future performance.



The long-term view: hit ratios by exposure

The two tables below show the long-term outperformance of active funds calculated as the ‘hit ratio’ for each exposure. The hit ratio is the percentage of active funds for each exposure that have outperformed their corresponding Net Benchmark over a given period. Each exposure shows very different performance metrics. This does not come as a surprise as dispersion, analyst coverage and importance of macro-economic factors differ vastly. Nonetheless, when looking at the broad evolution of the hit ratio over different timeframes (e.g. by looking at the cross-exposure average), results show that it can be more complicated to generate sustainable alpha over a longer period. The average Hit Ratio for equity managers moved from 55% YTD to 37% over a 5Y timespan. Over 10 years, the results are even more striking (see page 11).

Equity

Hit Ratio

Exposure Benchmark YtD 1Y 3Y 5Y

Europe Small Cap MSCI Europe Small Cap 73% 58% 46% 65%

UK Small Cap MSCI UK Small Cap 71% 62% 68% 79%

Germany Small/Mid cap MSCI Germany Small Cap 68% 57% 19% 8%

Europe Large Cap MSCI Europe 67% 59% 42% 41%

US Small Cap Russell 2000 66% 62% 62% 62%

Eurozone Large Cap MSCI EMU 59% 49% 38% 32%

UK Large Cap FTSE All Share 55% 55% 41% 31%

France Large Cap MSCI France 55% 40% 16% 14%

Japan Large Cap MSCI Japan 44% 43% 33% 45%

Germany Large Cap MSCI Germany 42% 29% 36% 41%

World Large Cap MSCI World 41% 27% 16% 13%

Emerging Equities MSCI Emerging Markets 36% 42% 35% 40%

US Large Cap Blend MSCI USA 35% 23% 18% 12%

Average 55% 47% 36% 37%


Fixed Income Hit Ratio

Exposure Benchmark YtD 1Y 3Y 5Y

Euro High Yield Bbg Barclays Euro High Yield 56% 40% 31% 27%

EM Debt Hard Currency JP EMBI Global Diversified 46% 44% 26% 14%

US High Yield Bbg Barclays US High Yield 45% 45% 35% 14%

US Corporate Bbg Barclays US Corporate 40% 33% 27% 20%

Euro Corporate Bbg Barclays Euro Corporate 34% 34% 26% 28%

Global Fixed Income Bbg Barclays Global Aggregate 32% 33% 23% 16%

US Aggregate Bbg Barclays US Aggregate 26% 24% 20% 15%

Euro Government Bbg Barclays Euro Government 22% 26% 19% 18%

US Government Bbg Barclays US Treasury 20% 15% 17% 15%

Euro Aggregate Bbg Barclays Euro Aggregate 14% 17% 10% 11%

Average 34% 31% 24% 18%




The long-term view: fund survivorship

How many funds stayed afloat?

In the table below, we look at the fund universe 1Y, 5Y and 10Y ago, count the number of funds which were operating and how many out of them were operational at the end of May 2020. This is what we call the “survivorship”. Results show that the survivorship is – unsurprisingly - very high (96% on average, across all exposures) over short periods of time. However, survivorship decreases as the observation window increases. On average, 62% of the funds that were operational 10 years ago were still in activity at the end of May 2020.

Exposure Survivorship 1Y Survivorship 5Y Survivorship 10Y

EM Debt Hard Currency 97% 78% 68%

Emerging Equities 95% 76% 70%

Euro Aggregate 95% 74% 52%

Euro Corporate 97% 81% 65%

Euro Government 95% 72% 52%

Euro High Yield 97% 84% 73%

Europe Large Cap 93% 76% 54%

Europe Small Cap 96% 88% 63%

Eurozone Large Cap 98% 81% 58%

France Large Cap 93% 78% 63%

Germany Large Cap 93% 78% 66%

Germany Small/Mid cap 100% 79% 65%

Global Fixed Income 95% 77% 63%

Japan Large Cap 94% 71% 43%

UK Large Cap 94% 73% 52%

UK Small Cap 100% 88% 71%

US Aggregate 94% 78% 50%

US Corporate 94% 80% 77%

US Government 100% 76% 57%

US High Yield 99% 95% 97%

US Large Cap Blend 92% 72% 51%

US Small Cap 95% 67% 59%

World Large Cap 96% 75% 54%

Average 96% 78% 62%




The long-term view: survivorship bias

Return to Summary

What’s the performance difference between reporting and closed funds?

In the analysis below, we complement our survivorship analysis and compare the performance of the funds that stayed operational to those that were closed. To do so we estimate the “missing” returns, i.e. we determine a reasonable estimate for the returns that an investor would have generated following the fund closure. Academic research suggests taking an investor’s mindset and replace missing returns (following a fund closure) by the average returns of the funds belonging to the same fund category. The table below shows that, on average and across exposures, funds that have been closed tend to have significantly lower hit ratios than those still in operation. This means that when assessing long term hit ratios (e.g. 10y), it is critical to adjust statistics to account for this “survivorship bias”.

Hit Ratio by observation window

Exposure 5Y, live funds 5Y, all funds 10Y, live funds 10Y, all funds

EM Debt Hard Currency 14% 11% 9% 6%

Emerging Equities 40% 34% 43% 34%

Euro Aggregate 11% 8% 12% 8%

Euro Corporate 28% 23% 35% 26%

Euro Government 18% 15% 28% 16%

Euro High Yield 27% 24% 15% 11%

Europe Large Cap 41% 35% 34% 23%

Europe Small Cap 65% 63% 42% 36%

Eurozone Large Cap 32% 28% 33% 24%

France Large Cap 14% 11% 25% 16%

Germany Large Cap 41% 34% 38% 36%

Germany Small/Mid cap 8% 6% 23% 21%

Global Fixed Income 16% 14% 20% 15%

Japan Large Cap 45% 40% 39% 24%

UK Large Cap 31% 27% 56% 45%

UK Small Cap 79% 79% 83% 79%

US Aggregate 15% 12% 31% 16%

US Corporate 20% 20% 22% 17%

US Government 15% 12% 13% 8%

US High Yield 14% 14% 22% 21%

US Large Cap Blend 12% 9% 2% 1%

US Small Cap 62% 64% 48% 55%

World Large Cap 13% 10% 8% 4%

Average 29% 26% 30% 24%

Source: Morningstar, Lyxor International Asset Management. Performances as at 31/05/2020, data was collected on 17/06/2020. Past

performance is not indicative of future performance.



Methodology

Return to Summary

Investing is all about return and risk, and the monitoring of performance is key for investors. Increasing data

transparency over recent years has significantly increased the quality of fund performance analysis. Benchmarks

and financial indices have become an industry standard and Index Funds and ETFs have become an effective

way to track those indices at low cost.

While there are many tools available to compare a small universe of investment funds with their respective

benchmarks, it remains difficult to get a grip of the broader picture. There are many challenges to address when

attempting such an analysis, mainly in ensuring a fair comparison of returns.

The Active-Passive Navigator aims for a comprehensive analysis of the performance of funds and ETFs

domiciled in Europe. For each asset category it compares fund and ETF performance against the most

investable and replicable benchmarks.

Fund Universe and Classification

We screen the fund universe as defined by Morningstar Direct, a market leader in funds’ data. We primarily use

Morningstar Funds and ETF classifications. In some instances, we can use other sources such as Bloomberg,

Lyxor International Asset Management, providers’ websites and regulatory filings. Feeder funds and funds of

funds are excluded from the analysis.

The initial universe of funds screened by this report covers 70,613 funds and ETFs, performances and asset

under management are as at 31/05/2020 and most of the data was collected on 17/06/2020.

Fund’s Survivorship and Performances

To reduce survivorship bias, our analysis includes liquidated funds.

We a) indicate the survivorship level over each reported time; and b) reconstruct an estimated performance of the

entire fund universe (equal-weighted and asset-weighted) and swap any fund that has been liquidated by the

equal-weighted performance of the remaining funds in the universe.

In this process, we replicate what an average investor would most likely have done, i.e. redeeming his or her

investment from the liquidated funds and investing in the remaining funds of the same fund category.

Fund’s Share Classes and Returns

Historical assets under management (AuM) data are essential to calculate asset-weighted funds returns. For each

fund, we extract long-term performance and AuM time series for open-ended funds (Active and Index Funds) and

exchange-traded funds (ETFs) domiciled in Europe, using Morningstar data.

When comparing returns, we look at each fund’s Oldest Share Class as defined by Morningstar (“the most

appropriate share class to use for performance-comparison purposes”1).

Benchmark and Net Benchmark

For each market segment, before comparing returns, we define a financial index as the Benchmark. The choice

of benchmark relies on broad recognition by the investment community and availability (e.g. a long track record

for the Total Return, net of withholding taxes). When calculating the “Hit Ratio”, i.e. the percentage of funds

which outperformed their respective benchmark, we deduct the average Net Expense Ratio of the ETFs within

the same category. The Next Expense Ratio is asset-weighted and observed over the last 3 years.

1 See “Oldest Share Class Methodology”, 31 October 2016, Morningstar



Glossary: definitions

Return to Summary

Active Funds: the funds related to an exposure and specified as not being “Index Funds” by Morningstar.

Asset-Weighted Average Performance (“aw”): the average performance of all funds related to an exposure

weighted by their AUM.

All funds: the number of funds classified under a specific exposure. These funds might be either still operating

merged or liquidated. (see Operating funds)

Avg. Active Fee (aw): the average management fee for active funds for an exposure. The average is arithmetic

(asset-weighted) and based on data available as at 17/06/2020.

Avg. ETF fee (aw): the average management fee for the ETFs related to an exposure. The average is arithmetic

(asset-weighted) with data available as at 17/06/2020.

Avg. ETF Exp. Ratio (aw): the average expense ratio of the ETFs related to an exposure. The average is

arithmetic (asset-weighted). The expense ratio is calculated as the average over the last 3 calendar years

preceding 17/06/2020. See Exposure Average Expense Ratio.

Benchmark: the representative index selected as a relevant metric to compare funds’ performance for a specific

exposure. Association between exposures and benchmarks are reviewed in page 7.

Equal-Weighted Average Performance (or “ew”): the arithmetic average active funds’ performance under the

same exposure.

Excess Return (ew): the difference between the equal-weighted average performance of the funds’ exposure

with the benchmark (Excess Return is calculated with the gross of fees performance of the Benchmark).

Exposure: a fund universe representing a homogeneous category of funds. Each exposure is associated with

one or several Morningstar categories.

Exposure Average Expense Ratio: the asset-weighted average of the expense ratio of all ETFs related to an

exposure and observed over the last 3 years.

Fees: the fund returns are net of fees and the Benchmarks’ returns are calculated either gross or net of fees.

Funds Returns (ew): the equal-weighted average of fund’s total return over a defined period and for an exposure.

Hit Ratio: the percentage of active funds for an exposure that outperformed the defined net benchmark over a

defined period. This ratio does not consider liquidated or merged funds. However we provide a full estimate for

both including or excluding merged or liquidated fund on pages 8 to 9.

Hit ratio (vs reporting funds): the percentage of existing active funds for an exposure that outperformed the

defined net benchmark over a defined period. This measure does not consider liquidated or merged funds over

the period.

Hit ratio (vs all funds): the percentage of existing active funds for an exposure that outperformed the defined net

benchmark over a period. This measure considers all funds for an exposure, including liquidated or merged funds

over the period.

Net Benchmark: the performance of the net benchmark over defined period. It is calculated by deducting from

the Exposure’s Benchmark the corresponding pro-rata of exposure average expense ratio.



Operating Funds (Active): the number of funds (active funds, respectively) which are not recorded as obsolete

as per Morningstar and as of 17/06/2020.

Passive Funds (or Index Funds): the funds related to an exposure and recorded as “Index Funds” by

Morningstar.

Quantile Breakpoints: 75% of the funds outperform the 25% quantile (and 25% underperform the quantile),

50% of the funds outperform the median (50% quantile), 25% of the funds outperform the 75% quantile.

Representative Index: a financial index relevant to analyse a particular asset segment or exposure. In this report

we refer irrespectively to benchmark or representative index.

Reporting funds: when looking at a particular exposure over a specific observation window, reporting funds refer

to the operating funds (see above) which have reported all monthly or weekly returns necessary to assess their

performances.

Survivorship (%): the percentage of funds that survived (neither merged nor liquidated) over a defined period in

a specific exposure.

Survivorship Bias: some of the calculations in this report are adjusted for the survivorship bias i.e. merged or

liquidated funds. This allows representing the entire opportunities available for investors at the beginning of each

period under the scope of this study. We also disclose the survivor rate for each category i.e. the percentage of

funds existing at the beginning of the period that are still live at the end of the period. (see pages 8 to 9).



Glossary: exposures, fund categories and benchmarks

Return to Summary

Exposure Morningstar Category Benchmark

EM Debt Hard Currency Global Emerging Markets Bond JP EMBI Global Diversified

Emerging Equities Global Emerging Markets Equity MSCI Emerging Markets

Euro Aggregate EUR Diversified Bond Bbg Barclays Euro Aggregate

Euro Corporate EUR Corporate Bond Bbg Barclays Euro Corporate

Euro Government EUR Government Bond Bbg Barclays Euro Government

Euro High Yield EUR High Yield Bond Bbg Barclays Euro High Yield

Europe Large Cap Europe Large-Cap Blend Equity MSCI Europe

Europe Small Cap Europe Small-Cap Equity MSCI Europe Small Cap

Eurozone Large Cap Eurozone Large-Cap Equity MSCI EMU

France Large Cap France Equity MSCI France

Germany Large Cap Germany Equity MSCI Germany

Germany Small/Mid cap Germany Small/Mid-Cap Equity MSCI Germany Small Cap

Global Fixed Income Global Bond Bbg Barclays Global Aggregate

Japan Large Cap Japan Large-Cap Equity MSCI Japan

UK Large Cap UK Large-Cap Equity FTSE All Share

UK Small Cap UK Small-Cap Equity MSCI UK Small Cap

US Aggregate USD Diversified Bond Bbg Barclays US Aggregate

US Corporate USD Corporate Bond Bbg Barclays US Corporate

US Government USD Government Bond Bbg Barclays US Treasury

US High Yield USD High Yield Bond Bbg Barclays US High Yield

US Large Cap Blend US Large-Cap Blend Equity MSCI USA

US Small Cap US Small-Cap Equity Russell 2000

World Large Cap Global Large-Cap Blend Equity MSCI World

Source: Morningstar, Lyxor International Asset Management.



Glossary: indices

Return to Summary

Benchmark Index Full Name Index Description

Bbg Barclays Euro

Aggregate

Bloomberg Barclays Euro Agg

Bond TR EUR

The Bloomberg Barclays Pan-European Aggregate Index tracks fixed-

rate, investment-grade securities issued in the following European

currencies: EUR, GBP, NOK, DKK, SEK, CHF, CZK, HUF, PLN, RUB,

and SKK. Inclusion is based on the currency of the issue, and not the

domicile of the issuer.

Bbg Barclays Euro

Corporate


Corps TR EUR

The Bloomberg Barclays Euro-Aggregate: Corporates Index is a

benchmark that measures the corporate component of the Euro

Aggregate Index. It includes investment grade, euro-denominated,

fixed-rate securities.

Bbg Barclays Euro

Government


Govt TR EUR

The Bloomberg Barclays Euro Government Index is a benchmark that

measures the component of the Euro-Aggregate that is issued by

governments or government owned entities. It includes investment

grade, euro-denominated, fixed-rate Treasury and Government-

Related securities.

Bbg Barclays Euro High

Yield

Bloomberg Barclays Pan Euro

HY Euro TR EUR

The Bloomberg Barclays Pan-European High Yield Index measures

the market of non-investment grade, fixed-rate corporate bonds

denominated in the following currencies: euro, pounds sterling, Danish

krone, Norwegian krone, Swedish krona, and Swiss franc. Inclusion is

based on the currency of issue, and not the domicile of the issuer.

Bbg Barclays Global

Aggregate

Bloomberg Barclays Global

Aggregate TR USD

The Bloomberg Barclays Global Aggregate Index is a flagship measure

of global investment grade debt from twenty-four local currency

markets. This multi-currency benchmark includes treasury,

government-related, corporate and securitized fixed-rate bonds from

both developed and emerging markets issuers.

Bbg Barclays US

Aggregate

Bloomberg Barclays US Agg

Bond TR USD

The Bloomberg Barclays US Aggregate Bond Index is a broad-based

flagship benchmark that measures the investment grade, US dollar-

denominated, fixed-rate taxable bond market. The index includes

Treasuries, government-related and corporate securities, MBS

(agency fixed-rate pass-throughs), ABS and CMBS (agency and non-

agency).

Bbg Barclays US

Corporate

Bloomberg Barclays US Corp

Bond TR USD

The Bloomberg Barclays US Corporate Bond Index measures the

investment grade, fixed-rate, taxable corporate bond market. It

includes USD denominated securities publicly issued by US and non-

US industrial, utility and financial issuers.

Bbg Barclays US High

Yield

Bloomberg Barclays High

Yield Corporate TR USD

The Bloomberg Barclays US Corporate High Yield Bond Index

measures the USD-denominated, high yield, fixed-rate corporate bond

market. Securities are classified as high yield if the middle rating of

Moody's, Fitch and S is Ba1/BB+/BB+ or below. Bonds from issuers

with an emerging markets country of risk, based on Barclays EM

country definition, are excluded.

Bbg Barclays US

Treasury

Bloomberg Barclays US

Treasury TR USD (1987)

The Bloomberg Barclays US Treasury Index measures US dollar-

denominated, fixed-rate, nominal debt issued by the US Treasury.

Treasury bills are excluded by the maturity constraint but are part of a

separate Short Treasury Index. STRIPS are excluded from the index

because their inclusion would result in double-counting.

FTSE All Share FTSE All Share TR GBP The FTSE All-Share Index is a market capitalisation weighted index

representing the performance of equities of all eligible companies listed

on the London Stock Exchange's main market, which pass screening

for size and liquidity, in accordance with the Index methodology. The

FTSE All-Share Index covers the combined universes of the FTSE 100,

FTSE 250 and FTSE Small Cap Index and covers approximately 98%

of the market capitalisation of the UK market.



JP EMBI Global

Diversified

JPM EMBI Global Diversified

TR USD

The JP Morgan EMBI Global Diversified Index is an unmanaged,

market-capitalization weighted, total-return index tracking the traded

market for U.S.-dollar-denominated Brady bonds, Eurobonds, traded

loans, and local market debt instruments issued by sovereign and

quasi-sovereign entities.

MSCI EMU MSCI EMU NR EUR The MSCI EMU Index (European Economic and Monetary Union)

captures large and mid-cap representation across the 10 Developed

Markets countries in the EMU*. With 244 constituents, the index covers

approximately 85% of the free float-adjusted market capitalization of

the EMU.

MSCI Emerging Markets MSCI EM NR EUR The MSCI Emerging Markets Index captures large and mid-cap

representation across 26 Emerging Markets (EM) countries. With

1,403 constituents, the index covers approximately 85% of the free

float-adjusted market capitalization in each country.

MSCI Europe MSCI Europe NR EUR The MSCI Europe Index represents the performance of large and mid-

cap equities across 15 developed countries in Europe. It covers

approximately 85% of the free float-adjusted market capitalization in

each country.

MSCI Europe Small Cap MSCI Europe Small Cap NR

EUR

The MSCI Europe Small Cap Index captures small cap representation

across the 15 Developed Markets (DM) countries in Europe. With 963

constituents, the index covers approximately 14% of the free float-

adjusted market capitalization in the European equity universe.

MSCI France MSCI France NR EUR The MSCI France Index is designed to measure the performance of

the large and mid-cap segments of the French market. With 77

constituents, the index covers about 85% of the equity universe in

France.

MSCI Germany MSCI Germany NR EUR The MSCI Germany Index is designed to measure the performance of

the large and mid-cap segments of the German market. With 59

constituents, the index covers about 85% of the equity universe in

Germany.

MSCI Germany Small

Cap

MSCI Germany Small Cap NR

EUR

The MSCI Germany Small Cap Index is designed to measure the

performance of the small cap segment of the German market. With 109

constituents, the index represents approximately 14% of the free float-

adjusted market capitalization of the Germany equity universe.

MSCI Japan MSCI Japan NR JPY The MSCI Japan Index is designed to measure the performance of the

large and mid-cap segments of the Japanese market. With 321


adjusted market capitalization in Japan.

MSCI UK Small Cap MSCI UK Small Cap NR USD The MSCI UK Small Cap Index is designed to measure the

performance of the small cap segment of the UK equity market. With

253 constituents, the index represents approximately 14% of the free

float-adjusted market capitalization in the UK.

MSCI USA MSCI USA NR USD The MSCI USA Index is designed to measure the performance of the

large and mid-cap segments of the US market. With 634 constituents,

the index covers approximately 85% of the free float-adjusted market

capitalization in the US

MSCI World MSCI World NR USD The MSCI World Index captures large and mid-cap representation

across 23 Developed Markets (DM) countries*. With 1,637


adjusted market capitalization in each country.

Russell 2000 Russell 2000 NR USD The MSCI USA Small Cap Index is designed to measure the

performance of the small cap segment of the US equity market. With

1,736 constituents, the index represents approximately 14% of the free

float-adjusted market capitalization in the US.

Source: Morningstar, Bloomberg, provider websites, Lyxor International Asset Management, data as at 17/06/2020.



Glossary: exposures and fund categories

Return to Summary

Exposure Morningstar Category: Name Morningstar Category: Description

EM Debt Hard Currency Global Emerging Markets Bond Global Emerging Market Bond funds are dedicated to fixed income

securities of issuers in emerging market countries. They should invest

across the global emerging markets universe without a country or

regional focus. Funds in this category will generally have a hard currency

bias but may exhibit a degree of local currency exposure.

Emerging Equities Global Emerging Markets Equity Global Emerging Markets Equity funds tend to divide their assets among

several emerging markets in Asia, Latin America, Europe, Middle East

and/or Africa. These funds invest at least 75% of their total assets in

equities and invest at least 75% of equity assets in global emerging

markets.

Euro Aggregate EUR Diversified Bond EUR Diversified Bond funds invest principally in investment grade

corporate and government issued bonds denominated in or hedged into

EUR. These funds do not focus on a single sector. This category includes

funds investing principally in Eurozone-domiciled issuers, global funds

that invest exclusively in EUR denominated issuance and single

currency offerings that hedge all their exposure back to EUR. It excludes

funds investing in global currencies that are hedged fully or partially back

to EUR, which are placed in the relevant Global Bond category.

Euro Corporate EUR Corporate Bond EUR Corporate Bond funds invest principally in investment grade

corporate-issued securities denominated in or hedged into EUR.

Euro Government EUR Government Bond EUR Government Bond funds invest principally in government or

explicitly government-backed agency securities denominated in or

hedged into EUR.

Euro High Yield EUR High Yield Bond EUR High Yield Bond funds invest principally in sub-investment grade

securities with a credit quality equivalent to BB, or lower and

denominated in or hedged into EUR.

Europe Large Cap Europe Large-Cap Blend Equity Europe Large-Cap Blend Equity funds are fairly representative of the

overall European equity market (including the UK) in size, growth rates

and price. Equities in the top 70% of the European equity market

(including the UK) are defined as large-cap. The blend style is assigned

to funds where neither growth nor value characteristics predominate.

These funds tend to invest across the spectrum of European industries.

At least 75% of total assets are invested in equities and at least 75% of

equity assets are invested in European equities.

Europe Small Cap Europe Small-Cap Equity Europe Small-Cap Equity funds invest principally in the equities of small-

cap European companies. Equities in the bottom 10% of the European

equity market (including the UK) are defined as small-cap. At least 75%

of total assets are invested in equities and at least 75% of equity assets

are invested in European equities.

Eurozone Large Cap Eurozone Large-Cap Equity Eurozone Large-Cap Equity funds invest principally in the equities of

large-cap companies from the 12 Eurozone countries. Funds in this

category typically invest across multiple countries in the Eurozone.

Equities in the top 70% of the European equity market (including the UK)

are defined as large-cap. These funds invest at least 75% of total assets

in equities and invest at least 75% of equity assets in Eurozone equities.

France Large Cap France Equity France Large-Cap Equity funds invest principally in the equities of large-

cap French companies. Equities in the top 70% of the European equity

market (including the UK) are defined as large-cap. These funds invest

at least 75% of total assets in equities and invest at least 75% of equity

assets in French equities.



Germany Large Cap Germany Equity Germany Large-Cap Equity funds invest principally in the equities of

large-cap German companies. Equities in the top 70% of the

European equity market (including the UK) are defined as large-cap.

These funds invest at least 75% of total assets in equities and invest

at least 75% of equity assets in German equities.

Germany Small/Mid cap Germany Small/Mid-Cap Equity Germany Small/Mid-Cap Equity funds invest principally in the

equities of small-cap and mid-cap German companies. Their

holdings typically fall in the bottom 30% of the capitalisation of the

European equity market (including the UK). The funds invest at least

75% of total assets in equities and invest at least 75% of equity

assets in German equities.

Global Fixed Income Global Bond Global Bond funds invest in a diversified portfolio of principally

investment grade bonds denominated in a diverse range of

currencies and do not systematically hedge currency risk or display

a notable currency bias that would qualify them for one of the other

Global Bond categories.

Japan Large Cap Japan Large-Cap Equity Japan Large-Cap Equity funds invest principally in the equities of

large-cap Japanese companies. Equities in the top 70% of the

capitalisation of the Japanese market are defined as large-cap.

These funds invest at least 75% of total assets in equities and invest

at least 75% of equity assets in Japanese equities.

UK Large Cap UK Large-Cap Equity Europe ex-UK Large Cap funds invest principally in the equities of

large-cap companies in continental Europe. Equities in the top 70%

of the capitalisation of the European equity market (including the UK)

are defined as large-cap. These funds may also include smaller

positions in the regional smaller markets, including the emerging

markets of Eastern Europe. These funds invest at least 75% of their

total assets in equities and invest at least 75% of equity assets in

European equities, with less than 10% in the UK.

UK Small Cap UK Small-Cap Equity UK Small-Cap Equity funds invest principally in the equities of small-

cap UK companies. Equities in the bottom 10% of the European

equity market (including the UK) are defined as small-cap. At least

75% of total assets are invested in equities and at least 75% of equity

assets are invested in UK equities.

US Aggregate USD Diversified Bond USD Diversified Bond funds invest principally in investment grade

corporate and government issued bonds denominated in or hedged

into USD. These funds do not focus on a single sector. This category

includes funds investing principally in US-domiciled issuers, global

funds that invest exclusively in USD-denominated issuance and

single currency offerings that hedge all their exposure back to USD.

It excludes funds investing in global currencies that are hedged fully

or partially back to USD, which are placed in the relevant Global

Bond category.

US Corporate USD Corporate Bond USD Corporate Bond funds invest principally in investment grade

corporate-issued securities denominated in or hedged into USD.

US Government USD Government Bond USD Government Bond funds invest principally in government or

explicitly government-backed agency securities denominated in or

hedged into USD.

US High Yield USD High Yield Bond USD High Yield Bond funds invest principally in sub-investment

grade securities with a credit quality equivalent to BB, or lower and

denominated in or hedged into USD.

US Large Cap Blend US Large-Cap Blend Equity US Large-Cap Blend Equity funds are fairly representative of the

overall US equity market in size, growth rates, and price. Equities in

the top 70% of the capitalisation of the US equity market are defined

as large cap. The blend style is assigned to funds where neither

growth nor value characteristics predominate. These funds invest at

least 75% of their total assets in equities and invest at least 75% of

equity assets in US equities.



US Small Cap US Small-Cap Equity US Small-Cap Equity funds invest principally in the equities of small-

cap US companies. Equities in the bottom 10% of the US equity

market are defined as small cap. At least 75% of total assets are

invested in equities and 75% of equity assets are invested in US

equities.

World Large Cap Global Large-Cap Blend Equity Global Large-Cap Blend Equity funds invest principally in the equities

of large-cap companies from around the globe. Most of these funds

divide their assets among many developed markets and invest at

least 20% of equity assets in North America and 15% in Greater

Europe. Equities in the top 70% of the capitalisation of each of the

seven regional Morningstar style zones are defined as large-cap.

The blend style is assigned to funds where neither growth nor value

characteristics predominate. At least 75% of total assets are invested

in equities.

Source: Morningstar, Lyxor International Asset Management, data as at 17/06/2020.



Exposure Analysis: Table of Content

Return to Summary

1.Equities:

Emerging Equities: analysis Europe Large Cap: analysis Europe Small Cap: analysis Eurozone Large Cap: analysis France Large Cap: analysis Germany Large Cap: analysis Germany Small/Mid cap: analysis Japan Large Cap: analysis UK Large Cap: analysis UK Small Cap: analysis US Large Cap Blend: analysis US Small Cap: analysis World Large Cap: analysis

2.Fixed Income:

EM Debt Hard Currency: analysis Euro Aggregate: analysis Euro Corporate: analysis Euro Government: analysis Euro High Yield: analysis Global Fixed Income: analysis US Aggregate: analysis US Corporate: analysis US Government: analysis US High Yield: analysis



Asset Class Deep Dive: EM Debt Hard Currency Go to Glossary

Return to Table of Content

This universe covers Europe domiciled funds which invest in

Emerging Market debt, denominated in US Dollar across all

issuers and durations.

The universe covers EUR 126.8bn, out of which EUR 106.5 bn is

invested in 202 active operating funds.

Compared to an investment in JP EMBI Global Diversified net of

0.44% (average expense ratio of the ETFs of this universe), 44%

of the active, operating funds belonging to this universe have

outperformed over 1Y (14% over 5Y and 9% over 10Y).

Hit Ratio snapshot Percentage of outperformers (%, in EUR)

Market Performance Fund Universe: Overview

JP EMBI Global Diversified Active Funds (ew)

YtD -5.21 % -5.71 %

1Y 0.55 % -0.76 %

3Y (pa) 2.74 % 1.01 %

5Y (pa) 3.94 % 2.06 %

10Y (pa) 6.91 % 4.80 %

All funds 378

Operating funds (Active) 224 (202)

Total AUM EUR 126.8bn

Active / Passive AUM EUR 106.5 / 20.3 bn

Funds / ETFs AUM EUR 115.4 / 11.4bn

Avg. Active Fee (aw) 0.82 % (0.80 %)

Avg. ETF fee (aw) 0.37 % (0.43 %)

Avg. ETF Exp. Ratio (aw) 0.41 % (0.44 %)

Benchmark JP EMBI Global Diversified

Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)

Calendar year performance Active performance net of fund fees & costs (%, in EUR)

YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -5.21 17.13 0.57 -3.16 13.45 12.71 22.33 -9.35 15.62 10.91 20.04

Net Benchmark -5.38 16.62 0.13 -3.59 12.96 12.22 21.80 -9.75 15.12 10.43 19.52

Funds (ew) -5.71 14.07 -1.25 -2.21 11.87 6.39 14.65 -9.09 -9.09 6.03 18.77

Funds (aw) -6.59 13.88 -1.12 -3.66 11.87 7.43 15.09 -9.19 13.33 6.25 15.87

Hit ratio (%) 46 % 31 % 30 % 62 % 39 % 10 % 6 % 44 % 47 % 16 % 54 %

Funds (#) 192 175 168 149 143 127 123 108 90 82 72




Quarterly performance Active performance net of fund fees & costs (% in EUR)

QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 6.98 -11.39 -1.13 6.03 2.62 8.88 0.33 2.84

Net Benchmark 6.90 -11.49 -1.24 5.91 2.51 8.76 0.22 2.73

Funds (ew) 7.73 -12.42 -0.04 4.03 2.32 7.15 0.22 1.25

Funds (aw) 8.33 -13.77 -0.34 3.94 2.18 7.60 0.16 1.50

Hit ratio (%) 65 % 40 % 85 % 13 % 46 % 55 % 46 % 9 %

Reporting funds (#) 196 192 192 188 184 296 178 178

Monthly performance Active performance net of fund fees & costs (% in EUR)

May Apr Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun

Net Benchmark 4.40 2.39 -13.79 -0.13 2.79 0.16 0.66 -2.05 0.51 1.82 3.48 1.14

Funds (ew) 4.67 2.93 -13.89 -0.38 2.14 0.75 0.50 -1.28 1.14 -0.19 3.06 1.30

Funds (aw) 5.08 3.09 -15.21 -0.52 2.22 0.86 0.45 -1.64 1.17 -0.39 3.14 1.10

Hit ratio (%) 60 % 65 % 46 % 47 % 25 % 74 % 47 % 80 % 81 % 7 % 36 % 61 %

Funds (#) 197 196 194 193 195 194 194 192 189 189 189 189

Performance consistency: annual returns

The ability of fund managers to outperform over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.

2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)




Long term active performance of reporting funds

Performance over different time periods (in %, in EUR)

YtD 1Y 3Y 5Y 10Y

Benchmark -5.21 0.55 2.73 3.94 6.90

Funds: equal-weighted average -5.71 -0.76 1.01 2.06 4.80

Funds: asset-weighted average -6.59 -2.17 0.63 1.79 4.23

Funds: top decile -1.19 4.02 3.28 3.66 6.33

Funds: top quartile -3.18 1.93 2.30 3.03 5.74

Funds: median -5.62 -0.40 0.94 2.25 5.08

Funds: bottom quartile -7.81 -3.04 -0.00 1.35 4.04

Funds: bottom decile -10.00 -5.69 -1.36 -0.15 2.76

Net Benchmark -5.38 0.10 2.28 3.48 6.44


Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons

YtD 1Y 3Y 5Y 10Y

Reporting funds 192 183 139 108 54

All funds = reporting + non-reporting 195 189 161 139 79

Survivorship: %of reporting funds vs total 98 % 97 % 86 % 78 % 68 %

Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)

YtD 1Y 3Y 5Y 10Y

Benchmark -5.21 0.55 2.73 3.94 6.90

Net Benchmark -5.38 0.10 2.28 3.48 6.44

Hit ratio (vs reporting funds) 46 % 44 % 26 % 14 % 9 %

Hit ratio (vs all funds) 47 % 43 % 24 % 11 % 6 %


Has a higher relative risk been rewarded by a higher active return over the last year?

An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a higher Active Return.

3-year relative returns (in EUR) as a function of 3-year tracking-error (154 weekly returns, in EUR)




Asset Class Deep Dive: Emerging Equities Go to Glossary


This universe covers Europe domiciled Funds which invest in

Emerging Markets Equities, with a focus on large capitalisations

and a balanced investment style.



Compared to an investment in MSCI Emerging Markets net of

0.35% (average expense ratio of the ETFs of this universe), 42%





MSCI Emerging Markets Active Funds (ew)

YtD -15.20 % -16.06 %

1Y -4.22 % -5.59 %

3Y (pa) 0.21 % -1.20 %

5Y (pa) 0.59 % -0.25 %

10Y (pa) 3.48 % 2.67 %

All funds 935





Avg. Active Fee (aw) 1.00 % (0.88 %)

Avg. ETF fee (aw) 0.41 % (0.26 %)


Benchmark MSCI Emerging Markets



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -15.20 20.59 -10.28 20.61 14.52 -5.24 11.39 -6.81 16.41 -15.68 27.16

Net Benchmark -15.32 20.18 -10.59 20.20 14.12 -5.57 11.00 -7.13 16.01 -15.98 26.72

Funds (ew) -16.06 21.71 -12.58 19.24 12.27 -4.49 10.28 -5.27 -5.27 -17.71 25.79

Funds (aw) -15.86 22.51 -12.51 19.04 12.35 -3.91 11.21 -5.05 16.33 -15.92 26.10

Hit ratio (%) 36 % 60 % 31 % 44 % 37 % 57 % 46 % 61 % 44 % 35 % 38 %

Funds (#) 455 430 438 433 436 419 424 410 379 333 296





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 8.50 -21.84 8.62 0.02 -0.81 11.91 -6.00 -0.58

Net Benchmark 8.44 -21.91 8.53 -0.07 -0.89 11.81 -6.08 -0.67

Funds (ew) 9.44 -23.31 7.81 0.26 0.17 12.27 -6.12 -1.80

Funds (aw) 9.02 -22.82 7.82 0.44 0.52 12.54 -5.98 -1.72

Hit ratio (%) 60 % 33 % 43 % 59 % 74 % 65 % 45 % 38 %

Reporting funds (#) 463 458 454 453 454 555 457 461



Net Benchmark -0.81 9.32 -15.34 -4.46 -3.46 5.53 1.01 1.81 2.91 -3.86 1.00 3.93

Funds (ew) -0.44 9.92 -16.86 -5.11 -2.78 4.89 1.27 1.49 2.78 -3.66 1.26 3.99

Funds (aw) -0.68 9.76 -16.27 -5.29 -2.68 4.97 1.26 1.44 2.75 -3.64 1.45 4.19

Hit ratio (%) 55 % 58 % 31 % 36 % 60 % 35 % 62 % 39 % 45 % 54 % 61 % 59 %

Funds (#) 463 464 463 464 463 458 460 461 459 459 459 460



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -15.20 -4.22 0.21 0.59 3.48

Funds: equal-weighted average -16.06 -5.59 -1.20 -0.25 2.67

Funds: asset-weighted average -15.86 -5.06 -0.83 0.16 3.27

Funds: top decile -11.07 2.20 2.71 3.00 5.18

Funds: top quartile -14.06 -2.09 0.69 1.20 3.89

Funds: median -16.30 -5.62 -1.00 -0.30 2.72

Funds: bottom quartile -18.50 -9.54 -3.03 -1.77 1.52


Net Benchmark -15.32 -4.56 -0.14 0.23 3.12



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -15.20 -4.22 0.21 0.59 3.48

Net Benchmark -15.32 -4.56 -0.14 0.23 3.12










Asset Class Deep Dive: Euro Aggregate Go to Glossary


This universe covers Europe domiciled funds which invest in Euro

denominated investment grade bonds across all issuers and

durations.



Compared to an investment in Bbg Barclays Euro Aggregate net

of 0.23% (average expense ratio of the ETFs of this universe),

17% of the active, operating funds belonging to this universe have




Bbg Barclays Euro Aggregate Active Funds (ew)

YtD 0.25 % -1.67 %

1Y 2.70 % 0.15 %

3Y (pa) 2.42 % 0.49 %

5Y (pa) 2.11 % 0.67 %

10Y (pa) 3.75 % 2.30 %

All funds 1388





Avg. Active Fee (aw) 0.68 % (0.56 %)

Avg. ETF fee (aw) 0.23 % (0.23 %)


Benchmark Bbg Barclays Euro Aggregate



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark 0.25 5.98 0.41 0.68 3.33 1.01 11.11 2.15 11.19 3.24 2.19

Net Benchmark 0.16 5.75 0.18 0.45 3.10 0.79 10.86 1.92 10.95 3.01 1.96

Funds (ew) -1.67 4.28 -1.60 0.67 2.28 0.02 7.17 1.55 1.55 1.34 2.01

Funds (aw) -0.78 5.00 -1.08 0.63 2.55 0.35 8.62 1.44 9.46 1.82 2.40

Hit ratio (%) 14 % 31 % 9 % 47 % 29 % 21 % 22 % 40 % 27 % 29 % 50 %

Funds (#) 490 477 499 510 527 544 570 594 611 622 645





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 1.39 -1.12 -2.25 2.86 2.83 2.51 0.86 -0.70

Net Benchmark 1.35 -1.18 -2.31 2.80 2.77 2.46 0.80 -0.75

Funds (ew) 2.01 -3.60 -1.01 1.59 1.73 1.87 -0.29 -0.43

Funds (aw) 1.96 -2.69 -1.51 2.07 2.24 2.16 0.02 -0.50

Hit ratio (%) 66 % 21 % 87 % 18 % 23 % 51 % 14 % 75 %

Reporting funds (#) 493 494 493 498 502 738 511 512



Net Benchmark 0.19 1.16 -3.41 0.33 1.97 -0.75 -0.64 -0.94 -0.55 1.89 1.45 1.87

Funds (ew) 0.59 1.41 -4.51 -0.12 1.06 -0.22 -0.31 -0.48 -0.37 1.00 0.94 1.26

Funds (aw) 0.51 1.44 -4.12 0.09 1.40 -0.43 -0.45 -0.64 -0.52 1.43 1.16 1.57

Hit ratio (%) 77 % 55 % 34 % 17 % 13 % 90 % 78 % 84 % 68 % 21 % 18 % 24 %

Funds (#) 493 496 496 497 495 495 496 498 500 505 505 508



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark 0.25 2.70 2.42 2.11 3.75

Funds: equal-weighted average -1.67 0.15 0.49 0.67 2.30

Funds: asset-weighted average -0.78 1.30 1.20 1.12 2.69

Funds: top decile 0.41 3.19 2.26 1.94 3.67


Funds: median -1.24 0.05 0.44 0.68 2.31



Net Benchmark 0.16 2.47 2.19 1.88 3.52



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark 0.25 2.70 2.42 2.11 3.75

Net Benchmark 0.16 2.47 2.19 1.88 3.52










Asset Class Deep Dive: Euro Corporate Go to Glossary



denominated corporate bonds across all durations.



Compared to an investment in Bbg Barclays Euro Corporate net

of 0.20 % (average expense ratio of the ETFs of this universe)


outperformed over 1Y (28% over 5Y and 35% over 10Y ).



Bbg Barclays Euro Corporate Active Funds (ew)

YtD -2.48 % -2.97 %

1Y -0.16 % -0.77 %

3Y (pa) 1.17 % 0.44 %

5Y (pa) 1.68 % 0.99 %

10Y (pa) 3.53 % 2.92 %

All funds 612





Avg. Active Fee (aw) 0.55 % (0.45 %)

Avg. ETF fee (aw) 0.15 % (0.17 %)


Benchmark Bbg Barclays Euro Corporate



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -2.48 6.26 -1.26 2.40 4.74 -0.57 8.40 2.38 13.59 1.48 4.76

Net Benchmark -2.56 6.05 -1.45 2.20 4.53 -0.76 8.19 2.18 13.37 1.28 4.55

Funds (ew) -2.97 5.60 -2.14 2.46 4.04 -0.76 6.69 2.65 2.65 0.44 3.95

Funds (aw) -2.51 6.42 -2.10 2.85 4.26 -0.79 7.44 2.85 13.62 0.36 4.18

Hit ratio (%) 34 % 43 % 28 % 57 % 40 % 50 % 32 % 59 % 40 % 44 % 35 %

Funds (#) 339 323 309 311 312 322 320 322 316 307 287





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 3.91 -6.15 -0.51 1.30 2.16 3.20 -0.61 -0.00

Net Benchmark 3.87 -6.19 -0.56 1.25 2.11 3.15 -0.66 -0.05

Funds (ew) 3.86 -6.55 -0.25 1.13 1.89 2.74 -0.99 0.04

Funds (aw) 4.08 -6.34 -0.28 1.32 2.20 3.06 -1.01 0.09

Hit ratio (%) 55 % 34 % 74 % 42 % 44 % 57 % 35 % 56 %

Reporting funds (#) 343 343 337 335 333 533 326 319



Net Benchmark 0.15 3.71 -6.87 -0.42 1.14 -0.07 -0.27 -0.23 -0.78 0.62 1.41 1.56

Funds (ew) 0.47 3.37 -6.96 -0.42 0.87 0.06 -0.14 -0.17 -0.58 0.54 1.17 1.40

Funds (aw) 0.44 3.63 -6.90 -0.38 0.98 0.05 -0.18 -0.15 -0.62 0.66 1.29 1.58

Hit ratio (%) 80 % 45 % 41 % 50 % 22 % 74 % 70 % 63 % 67 % 42 % 32 % 43 %

Funds (#) 346 345 346 346 344 343 341 339 338 340 338 336


The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.

2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -2.48 -0.16 1.17 1.68 3.54

Funds: equal-weighted average -2.97 -0.77 0.44 0.99 2.92


Funds: top decile -1.36 0.79 1.49 1.89 3.88


Funds: median -2.95 -0.80 0.53 1.07 3.01



Net Benchmark -2.56 -0.36 0.97 1.48 3.33



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -2.48 -0.16 1.17 1.68 3.54

Net Benchmark -2.56 -0.36 0.97 1.48 3.33





An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.





Asset Class Deep Dive: Euro Government Go to Glossary



denominated government bonds across durations.



Compared to an investment in Bbg Barclays Euro Government

net of 0.19 % (average expense ratio of the ETFs of this universe)





Bbg Barclays Euro

Government

Active Funds (ew)

YtD 0.98 % 0.10 %

1Y 3.78 % 2.05 %

3Y (pa) 2.91 % 1.59 %

5Y (pa) 2.36 % 1.33 %

10Y (pa) 3.91 % 2.90 %

All funds 675





Avg. Active Fee (aw) 0.43 % (0.32 %)

Avg. ETF fee (aw) 0.18 % (0.15 %)


Benchmark Bbg Barclays Euro

Government



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark 0.98 6.36 0.92 0.20 3.14 1.52 12.44 2.12 10.54 3.52 1.49

Net Benchmark 0.90 6.16 0.73 0.01 2.95 1.33 12.23 1.93 10.34 3.33 1.30

Funds (ew) 0.10 4.52 -0.16 -0.14 2.16 0.71 10.01 1.50 1.50 2.68 0.95

Funds (aw) 0.38 5.27 -0.13 0.02 2.43 0.87 10.58 1.25 9.12 2.97 1.04

Hit ratio (%) 22 % 35 % 20 % 36 % 31 % 30 % 34 % 40 % 33 % 37 % 39 %

Funds (#) 202 191 199 204 219 224 229 238 245 256 246





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 0.74 0.24 -2.81 3.53 3.19 2.44 1.35 -0.97

Net Benchmark 0.71 0.19 -2.86 3.48 3.14 2.39 1.31 -1.01

Funds (ew) 0.66 -0.55 -2.12 2.57 2.29 1.81 0.86 -0.83

Funds (aw) 0.76 -0.37 -2.30 3.07 2.61 1.88 0.94 -0.93

Hit ratio (%) 40 % 29 % 65 % 39 % 30 % 54 % 24 % 56 %

Reporting funds (#) 203 205 201 197 198 290 207 206



Net Benchmark 0.15 0.55 -2.58 0.49 2.33 -0.95 -0.83 -1.12 -0.46 2.33 1.58 2.12

Funds (ew) 0.50 0.17 -2.32 0.19 1.61 -0.59 -0.70 -0.84 -0.35 1.71 1.21 1.61

Funds (aw) 0.55 0.21 -2.44 0.28 1.84 -0.66 -0.79 -0.86 -0.27 1.93 1.40 1.85

Hit ratio (%) 78 % 24 % 63 % 21 % 21 % 78 % 60 % 70 % 63 % 34 % 30 % 37 %

Funds (#) 203 204 206 206 205 204 204 203 202 201 199 198



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark 0.98 3.78 2.92 2.37 3.91

Funds: equal-weighted average 0.10 2.05 1.59 1.33 2.90

Funds: asset-weighted average 0.38 2.96 1.96 1.57 3.04

Funds: top decile 1.48 4.33 3.08 2.51 4.05

Funds: top quartile 0.85 3.61 2.59 2.06 3.75

Funds: median 0.14 2.42 1.84 1.53 3.15

Funds: bottom quartile -0.41 0.58 0.44 0.65 2.04


Net Benchmark 0.90 3.59 2.72 2.18 3.72



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark 0.98 3.78 2.92 2.37 3.91

Net Benchmark 0.90 3.59 2.72 2.18 3.72










Asset Class Deep Dive: Euro High Yield Go to Glossary



denominated High Yield bonds across all durations.



Compared to an investment in Bbg Barclays Euro High Yield net






Bbg Barclays Euro High Yield Active Funds (ew)

YtD -7.02 % -7.17 %

1Y -1.63 % -3.15 %

3Y (pa) 0.80 % -0.63 %

5Y (pa) 2.57 % 1.25 %

10Y (pa) 6.24 % 4.38 %

All funds 297





Avg. Active Fee (aw) 0.78 % (0.72 %)

Avg. ETF fee (aw) 0.38 % (0.46 %)


Benchmark Bbg Barclays Euro High Yield



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -7.03 11.33 -3.82 6.92 9.11 1.01 5.83 10.15 27.32 -3.21 14.15

Net Benchmark -7.22 10.79 -4.29 6.40 8.59 0.53 5.32 9.62 26.71 -3.68 13.61

Funds (ew) -7.17 8.74 -4.25 4.89 7.63 1.19 3.32 7.44 7.44 -3.69 12.21

Funds (aw) -6.53 9.07 -3.98 4.98 7.42 1.42 3.40 8.18 21.40 -3.65 13.15

Hit ratio (%) 56 % 20 % 57 % 20 % 33 % 65 % 20 % 19 % 10 % 51 % 39 %

Funds (#) 158 145 143 128 128 133 129 120 115 102 95





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 9.09 -14.77 1.77 1.49 2.39 5.27 -3.66 1.66

Net Benchmark 9.01 -14.88 1.64 1.37 2.27 5.14 -3.78 1.54

Funds (ew) 7.78 -13.94 1.42 1.01 1.83 4.24 -3.66 1.33

Funds (aw) 8.29 -13.68 1.56 0.99 1.98 4.27 -3.48 1.36

Hit ratio (%) 30 % 65 % 37 % 25 % 27 % 51 % 56 % 45 %

Reporting funds (#) 162 160 155 154 153 242 149 148



Net Benchmark 2.73 6.11 -13.38 -1.90 0.17 1.03 0.81 -0.20 -0.16 0.74 0.79 2.40

Funds (ew) 2.39 5.21 -12.59 -1.63 0.09 0.88 0.75 -0.22 -0.08 0.51 0.57 1.85

Funds (aw) 2.44 5.71 -12.34 -1.64 0.12 0.93 0.71 -0.08 -0.09 0.53 0.55 1.93

Hit ratio (%) 34 % 33 % 61 % 68 % 37 % 38 % 43 % 58 % 59 % 24 % 19 % 19 %

Funds (#) 163 163 162 161 160 160 161 158 157 157 154 154



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -7.03 -1.63 0.81 2.57 6.24

Funds: equal-weighted average -7.17 -3.15 -0.63 1.25 4.38


Funds: top decile -4.40 0.44 1.11 2.77 5.83


Funds: median -6.91 -2.57 -0.54 1.39 4.71



Net Benchmark -7.22 -2.10 0.32 2.07 5.73



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -7.03 -1.63 0.81 2.57 6.24

Net Benchmark -7.22 -2.10 0.32 2.07 5.73










Asset Class Deep Dive: Europe Large Cap Go to Glossary


This universe covers Europe domiciled funds which invest

globally in European large cap stocks and a balanced investment

style.



Compared to an investment in MSCI Europe net of 0.25 %

(average expense ratio of the ETFs of this universe) 59% of the

active, operating funds belonging to this universe have




MSCI Europe Active Funds (ew)

YtD -15.43 % -13.42 %

1Y -4.23 % -3.13 %

3Y (pa) -1.33 % -2.26 %

5Y (pa) -0.26 % -1.02 %

10Y (pa) 6.19 % 5.18 %

All funds 1304





Avg. Active Fee (aw) 0.97 % (0.77 %)

Avg. ETF fee (aw) 0.26 % (0.15 %)


Benchmark MSCI Europe



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -15.43 26.05 -10.56 10.26 2.57 8.22 6.85 19.82 17.30 -8.07 11.08

Net Benchmark -15.52 25.75 -10.78 9.99 2.32 7.96 6.58 19.53 17.01 -8.30 10.81

Funds (ew) -13.42 24.32 -13.21 10.39 -0.54 10.73 5.03 18.99 18.99 -11.36 10.62

Funds (aw) -13.71 24.49 -12.24 10.04 -0.65 11.51 6.14 19.25 16.92 -10.60 11.45

Hit ratio (%) 67 % 39 % 26 % 50 % 20 % 75 % 29 % 44 % 57 % 19 % 49 %

Funds (#) 510 482 478 464 447 433 435 450 449 471 508





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 9.25 -22.59 5.72 2.57 3.01 12.84 -11.32 1.32

Net Benchmark 9.21 -22.64 5.65 2.51 2.95 12.78 -11.37 1.26

Funds (ew) 11.38 -22.23 5.90 1.70 2.81 12.15 -13.35 0.73

Funds (aw) 11.15 -22.36 5.88 1.95 2.49 12.52 -12.86 0.78

Hit ratio (%) 82 % 53 % 54 % 29 % 47 % 60 % 20 % 32 %

Reporting funds (#) 515 514 506 510 517 759 505 509



Net Benchmark 2.93 6.10 -14.37 -8.49 -1.28 2.04 2.68 0.84 3.74 -1.46 0.28 4.41

Funds (ew) 3.60 7.51 -14.92 -7.65 -1.08 1.88 2.86 1.03 3.01 -1.51 0.24 4.08

Funds (aw) 3.28 7.61 -14.87 -8.02 -0.85 1.92 2.86 1.00 3.09 -1.26 0.17 4.03

Hit ratio (%) 69 % 74 % 45 % 70 % 58 % 43 % 58 % 59 % 28 % 50 % 44 % 45 %

Funds (#) 516 518 517 521 521 515 515 513 516 518 519 521



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -15.43 -4.23 -1.32 -0.26 6.20


Funds: asset-weighted average -13.71 -3.10 -1.76 -0.64 5.58

Funds: top decile -6.96 4.21 1.50 1.71 7.54

Funds: top quartile -10.30 0.50 -0.31 0.51 6.47

Funds: median -13.65 -3.11 -2.15 -0.97 5.25



Net Benchmark -15.52 -4.47 -1.57 -0.51 5.94



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -15.43 -4.23 -1.32 -0.26 6.20

Net Benchmark -15.52 -4.47 -1.57 -0.51 5.94










Asset Class Deep Dive: Europe Small Cap Go to Glossary


This universe covers Europe domiciled funds which invest in

European small cap stocks with a balanced investment style.



Compared to an investment in MSCI Europe Small Cap net of

0.31 % (average expense ratio of the ETFs of this universe) 58%





MSCI Europe Small Cap Active Funds (ew)

YtD -16.69 % -11.90 %

1Y -2.64 % -0.59 %

3Y (pa) -1.07 % -2.05 %

5Y (pa) 1.97 % 3.02 %

10Y (pa) 9.68 % 8.90 %

All funds 258





Avg. Active Fee (aw) 1.28 % (1.20 %)

Avg. ETF fee (aw) 0.29 % (0.21 %)


Benchmark MSCI Europe Small Cap



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -16.69 31.42 -15.84 19.02 0.87 23.51 6.47 33.40 26.97 -17.46 29.92

Net Benchmark -16.81 31.02 -16.11 18.66 0.56 23.13 6.13 32.99 26.58 -17.72 29.52

Funds (ew) -11.90 27.30 -19.33 22.79 3.61 24.67 5.37 28.43 28.43 -17.69 28.21

Funds (aw) -11.35 29.01 -17.54 22.20 -1.25 26.89 4.55 26.99 24.45 -16.85 30.65

Hit ratio (%) 73 % 39 % 30 % 73 % 56 % 61 % 40 % 24 % 32 % 51 % 53 %

Funds (#) 136 130 128 118 110 106 94 86 91 95 99





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 17.11 -28.86 11.74 1.63 1.34 14.19 -16.48 -1.10

Net Benchmark 17.05 -28.92 11.65 1.55 1.26 14.11 -16.55 -1.18

Funds (ew) 19.49 -26.32 10.95 -1.30 3.68 12.09 -18.00 -1.48

Funds (aw) 20.50 -26.43 11.63 -1.04 3.58 12.75 -17.85 -1.14

Hit ratio (%) 70 % 68 % 46 % 10 % 83 % 53 % 28 % 46 %

Reporting funds (#) 137 136 134 136 135 221 134 133



Net Benchmark 5.12 11.34 -21.31 -8.08 -1.75 4.21 4.56 2.46 3.50 -1.72 -0.18 2.89

Funds (ew) 5.73 12.99 -19.61 -7.71 -0.75 3.68 5.06 1.80 2.70 -3.19 -0.76 3.02

Funds (aw) 6.30 13.36 -19.39 -8.06 -0.74 3.76 5.34 2.13 2.87 -2.87 -0.96 3.07

Hit ratio (%) 60 % 74 % 66 % 55 % 71 % 34 % 64 % 29 % 28 % 15 % 40 % 55 %

Funds (#) 137 137 137 137 137 134 135 136 137 139 138 138



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -16.69 -2.64 -1.07 1.97 9.68


Funds: asset-weighted average -11.35 0.95 -0.39 3.05 9.57

Funds: top decile -1.43 12.32 3.83 7.10 12.79


Funds: median -13.03 -0.68 -1.73 2.83 9.15



Net Benchmark -16.81 -2.94 -1.38 1.65 9.33



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -16.69 -2.64 -1.07 1.97 9.68

Net Benchmark -16.81 -2.94 -1.38 1.65 9.33










Asset Class Deep Dive: Eurozone Large Cap Go to Glossary


This universe covers Europe domiciled funds which invest in the

Eurozone stock market with a focus on large capitalisations and

a balanced investment style.



Compared to an investment in MSCI EMU net of 0.20 % (average

expense ratio of the ETFs of this universe) 49% of the active,

operating funds belonging to this universe have outperformed

over 1Y (32% over 5Y and 33% over 10Y ).



MSCI EMU Active Funds (ew)

YtD -16.45 % -15.43 %

1Y -5.35 % -5.47 %

3Y (pa) -2.56 % -3.81 %

5Y (pa) 0.09 % -1.11 %

10Y (pa) 5.47 % 4.40 %

All funds 1234





Avg. Active Fee (aw) 1.00 % (0.65 %)

Avg. ETF fee (aw) 0.29 % (0.13 %)


Benchmark MSCI EMU



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -16.45 25.47 -12.72 12.49 4.34 9.83 4.31 23.37 19.33 -14.90 2.39

Net Benchmark -16.52 25.22 -12.89 12.27 4.14 9.61 4.10 23.13 19.09 -15.07 2.19

Funds (ew) -15.43 23.09 -14.60 11.50 2.35 10.58 2.20 21.42 21.42 -15.78 2.92

Funds (aw) -14.69 24.44 -14.87 11.96 2.23 12.36 2.04 22.80 20.15 -15.45 3.63

Hit ratio (%) 59 % 39 % 29 % 39 % 27 % 61 % 25 % 32 % 44 % 45 % 56 %

Funds (#) 353 348 334 340 340 342 348 360 375 389 404





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 11.53 -25.09 5.06 2.59 4.00 11.94 -12.72 0.43

Net Benchmark 11.49 -25.13 5.00 2.54 3.95 11.88 -12.76 0.38

Funds (ew) 11.24 -23.95 4.94 1.72 3.75 11.08 -13.55 0.17

Funds (aw) 12.10 -23.90 5.34 2.04 3.96 11.36 -13.89 0.09

Hit ratio (%) 43 % 59 % 48 % 28 % 48 % 59 % 38 % 43 %

Reporting funds (#) 354 356 355 356 354 548 346 343



Net Benchmark 4.71 6.47 -17.23 -7.94 -1.75 1.11 2.63 1.18 3.70 -1.25 0.12 5.09

Funds (ew) 4.37 6.58 -16.47 -7.36 -1.81 1.14 2.78 0.94 3.26 -1.54 0.06 4.69

Funds (aw) 4.72 7.05 -16.32 -7.54 -1.64 1.25 2.99 1.02 3.38 -1.59 0.30 5.01

Hit ratio (%) 39 % 48 % 60 % 67 % 46 % 50 % 53 % 37 % 37 % 39 % 47 % 41 %

Funds (#) 355 355 356 356 357 355 356 357 356 356 356 355



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -16.45 -5.35 -2.56 0.08 5.47



Funds: top decile -8.79 2.62 -0.13 1.64 6.79

Funds: top quartile -12.14 -1.67 -1.79 0.23 5.66

Funds: median -15.56 -5.74 -3.40 -1.00 4.51



Net Benchmark -16.52 -5.54 -2.76 -0.11 5.26



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -16.45 -5.35 -2.56 0.08 5.47

Net Benchmark -16.52 -5.54 -2.76 -0.11 5.26










Asset Class Deep Dive: France Large Cap Go to Glossary



French stock market with a focus on large capitalisations and a

balanced investment style.



Compared to an investment in MSCI France net of 0.25 %






MSCI France Active Funds (ew)

YtD -19.91 % -18.83 %

1Y -8.06 % -8.93 %

3Y (pa) -1.51 % -4.69 %

5Y (pa) 1.42 % -0.82 %

10Y (pa) 6.05 % 4.88 %

All funds 188





Avg. Active Fee (aw) 1.39 % (1.13 %)

Avg. ETF fee (aw) 0.22 % (0.23 %)


Benchmark MSCI France



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -19.90 28.02 -8.35 13.07 8.00 11.25 2.59 20.87 19.43 -14.09 2.55

Net Benchmark -19.99 27.71 -8.59 12.79 7.74 10.97 2.34 20.58 19.14 -14.30 2.30

Funds (ew) -18.83 24.20 -14.50 12.42 4.42 13.28 1.89 21.50 21.50 -15.47 4.12

Funds (aw) -18.72 24.46 -14.15 12.38 5.09 13.72 2.22 22.87 19.08 -14.76 2.62

Hit ratio (%) 55 % 24 % 7 % 41 % 15 % 79 % 43 % 57 % 54 % 39 % 58 %

Funds (#) 84 84 88 92 96 99 101 110 113 113 113





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 8.06 -25.88 5.38 2.65 5.00 12.71 -13.68 3.36

Net Benchmark 8.02 -25.93 5.32 2.59 4.93 12.64 -13.74 3.29

Funds (ew) 9.38 -25.79 4.67 1.14 5.13 11.46 -15.64 0.81

Funds (aw) 9.16 -25.54 4.56 1.48 5.16 11.55 -15.24 1.12

Hit ratio (%) 68 % 50 % 25 % 9 % 64 % 56 % 17 % 6 %

Reporting funds (#) 84 84 85 86 88 139 90 93



Net Benchmark 3.31 4.56 -17.63 -8.08 -2.17 1.11 2.90 1.23 3.46 -0.64 -0.20 6.09

Funds (ew) 3.91 5.26 -17.96 -7.57 -2.14 1.56 2.83 0.22 2.54 -1.39 0.02 5.88

Funds (aw) 3.82 5.14 -18.07 -7.40 -1.85 1.60 2.75 0.15 2.67 -1.19 0.03 5.72

Hit ratio (%) 69 % 57 % 55 % 62 % 42 % 75 % 46 % 11 % 22 % 12 % 58 % 52 %

Funds (#) 84 84 84 84 85 85 87 87 87 86 86 88



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -19.90 -8.06 -1.52 1.41 6.05



Funds: top decile -14.08 -3.29 -0.94 1.41 6.66


Funds: median -19.26 -9.52 -4.07 -0.66 4.89



Net Benchmark -19.99 -8.29 -1.76 1.15 5.78



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -19.90 -8.06 -1.52 1.41 6.05

Net Benchmark -19.99 -8.29 -1.76 1.15 5.78










Asset Class Deep Dive: Germany Large Cap Go to Glossary


This universe covers Europe domiciled Funds which invest in the

German stock market with a focus on large capitalisations and a




Compared to an investment in MSCI Germany net of 0.16 %






MSCI Germany Active Funds (ew)

YtD -12.23 % -13.40 %

1Y -1.37 % -3.81 %

3Y (pa) -3.25 % -3.93 %

5Y (pa) -0.24 % -0.56 %

10Y (pa) 6.45 % 5.85 %

All funds 153





Avg. Active Fee (aw) 1.02 % (0.98 %)

Avg. ETF fee (aw) 0.21 % (0.12 %)


Benchmark MSCI Germany



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -12.23 23.01 -18.24 12.15 5.83 9.29 2.09 25.70 28.87 -15.35 15.97

Net Benchmark -12.29 22.82 -18.37 11.98 5.66 9.12 1.93 25.50 28.67 -15.48 15.79

Funds (ew) -13.40 23.18 -20.42 15.96 2.45 12.20 1.17 24.49 24.49 -16.83 17.97

Funds (aw) -12.73 25.53 -22.10 17.34 3.26 15.06 2.09 26.96 30.37 -17.35 19.57

Hit ratio (%) 42 % 63 % 26 % 91 % 18 % 74 % 38 % 39 % 32 % 28 % 76 %

Funds (#) 57 57 57 56 56 57 55 54 56 57 58





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 17.54 -25.33 6.73 0.24 5.62 8.85 -14.12 -0.05

Net Benchmark 17.51 -25.36 6.69 0.20 5.58 8.81 -14.15 -0.09

Funds (ew) 17.36 -26.10 7.24 -0.47 4.94 9.41 -15.74 -0.34

Funds (aw) 19.38 -26.90 7.75 -0.18 5.88 10.22 -17.11 -0.67

Hit ratio (%) 47 % 44 % 63 % 38 % 47 % 74 % 25 % 45 %

Reporting funds (#) 57 57 60 60 60 70 60 60



Net Benchmark 6.96 9.87 -16.95 -8.44 -1.83 0.10 3.00 3.49 3.48 -1.89 -1.29 5.02

Funds (ew) 6.30 10.46 -17.93 -8.92 -1.25 0.98 3.08 3.04 2.76 -2.23 -0.92 4.03

Funds (aw) 6.74 11.84 -18.35 -10.12 -0.38 0.66 3.52 3.40 2.86 -1.90 -1.08 4.97

Hit ratio (%) 33 % 65 % 35 % 31 % 59 % 78 % 58 % 32 % 40 % 45 % 62 % 32 %

Funds (#) 58 57 57 58 59 60 60 60 60 60 61 60



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -12.23 -1.37 -3.25 -0.23 6.45



Funds: top decile -8.17 5.28 -0.84 1.83 8.72


Funds: median -13.01 -3.83 -4.21 -0.79 5.75



Net Benchmark -12.29 -1.52 -3.40 -0.39 6.28



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -12.23 -1.37 -3.25 -0.23 6.45

Net Benchmark -12.29 -1.52 -3.40 -0.39 6.28










Asset Class Deep Dive: Germany Small/Mid cap Go to Glossary


This universe covers Europe domiciled Funds which invest in the

German stock market with a focus on small and medium

capitalisations and a balanced investment style.



Compared to an investment in MSCI Germany Small Cap net of






MSCI Germany Small Cap Active Funds (ew)

YtD -9.07 % -6.77 %

1Y 4.60 % 3.39 %

3Y (pa) 3.43 % -1.42 %

5Y (pa) 7.59 % 2.59 %

10Y (pa) 12.36 % 8.28 %

All funds 57


Total AUM EUR 7.3bn



Avg. Active Fee (aw) 1.16 % (1.15 %)

Avg. ETF fee (aw) 0.34 % (0.40 %)


Benchmark MSCI Germany Small Cap



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -9.08 31.36 -19.63 38.16 4.16 24.34 8.57 28.88 27.40 -18.74 34.56

Net Benchmark -9.27 30.73 -20.03 37.51 3.66 23.75 8.05 28.27 26.79 -19.14 33.92

Funds (ew) -6.77 21.87 -20.40 25.01 2.67 17.68 2.30 27.51 27.51 -11.12 28.26

Funds (aw) -6.27 26.24 -20.66 28.04 1.02 20.49 4.05 32.57 27.37 -13.31 30.03

Hit ratio (%) 68 % 18 % 50 % 7 % 31 % 34 % 24 % 53 % 27 % 90 % 30 %

Funds (#) 28 28 28 28 29 32 34 32 33 31 33





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 21.46 -25.15 11.27 -0.13 2.56 15.25 -17.80 -0.24

Net Benchmark 21.37 -25.25 11.14 -0.25 2.44 15.12 -17.91 -0.36

Funds (ew) 19.58 -21.88 9.09 -1.18 3.47 9.06 -17.22 -0.55

Funds (aw) 20.82 -22.43 12.60 -1.36 3.72 9.58 -17.38 -0.81

Hit ratio (%) 32 % 64 % 43 % 43 % 68 % 44 % 57 % 59 %

Reporting funds (#) 28 28 28 28 28 45 28 29



Net Benchmark 10.02 10.32 -16.75 -8.32 -2.06 4.61 3.44 2.71 1.74 -1.88 -0.08 3.50

Funds (ew) 6.99 11.75 -15.97 -6.67 -0.57 2.28 4.20 2.32 2.10 -2.35 -0.88 2.81

Funds (aw) 8.63 11.23 -15.51 -7.96 -0.24 3.86 5.10 3.15 1.57 -1.87 -1.04 3.36

Hit ratio (%) 21 % 75 % 54 % 61 % 82 % 11 % 71 % 43 % 64 % 46 % 39 % 32 %

Funds (#) 28 28 28 28 28 28 28 28 28 28 28 28



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -9.08 4.60 3.44 7.59 12.36

Funds: equal-weighted average -6.77 3.39 -1.42 2.59 8.28


Funds: top decile 1.85 14.47 4.89 6.97 13.33


Funds: median -5.31 5.06 -0.69 3.57 8.14



Net Benchmark -9.27 4.10 2.94 7.08 11.82



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -9.08 4.60 3.44 7.59 12.36

Net Benchmark -9.27 4.10 2.94 7.08 11.82










Asset Class Deep Dive: Global Fixed Income Go to Glossary



globally in investment grade bonds across all issuer types and

durations.



Compared to an investment in Bbg Barclays Global Aggregate net






Bbg Barclays Global

Aggregate

Active Funds (ew)

YtD 3.01 % 0.85 %

1Y 5.79 % 3.72 %

3Y (pa) 3.83 % 2.21 %

5Y (pa) 2.98 % 1.54 %

10Y (pa) 3.89 % 3.02 %

All funds 384





Avg. Active Fee (aw) 0.57 % (0.49 %)

Avg. ETF fee (aw) 0.12 % (0.12 %)


Benchmark Bbg Barclays Global

Aggregate



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark 3.01 8.82 3.77 -5.65 5.14 7.88 14.55 -6.83 2.73 9.20 12.90

Net Benchmark 2.95 8.68 3.64 -5.77 5.00 7.74 14.41 -6.94 2.60 9.06 12.76

Funds (ew) 0.85 7.77 1.36 -4.58 3.55 5.18 12.12 -6.33 -6.33 6.81 11.08

Funds (aw) 1.49 8.51 1.57 -4.50 4.36 4.82 12.42 -6.33 4.56 7.31 12.17

Hit ratio (%) 32 % 42 % 16 % 58 % 29 % 18 % 31 % 46 % 56 % 29 % 39 %

Funds (#) 231 220 224 210 212 211 213 208 199 198 193





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 1.02 1.97 -2.40 5.21 1.85 4.05 2.81 -0.40

Net Benchmark 1.00 1.94 -2.43 5.18 1.82 4.02 2.78 -0.44

Funds (ew) 2.12 -1.11 -1.51 3.97 1.54 3.60 1.54 -0.50

Funds (aw) 2.17 -0.67 -1.49 4.18 1.83 3.83 1.61 -0.36

Hit ratio (%) 66 % 33 % 63 % 31 % 47 % 56 % 22 % 40 %

Reporting funds (#) 234 235 233 235 230 349 233 233



Net Benchmark -1.11 2.13 -2.14 1.56 2.57 -1.21 0.41 -1.64 -0.02 3.15 1.99 0.01

Funds (ew) -0.17 2.29 -3.59 0.58 1.93 -0.62 0.24 -1.14 0.16 2.15 1.59 0.39

Funds (aw) -0.17 2.35 -3.40 0.72 2.08 -0.48 0.20 -1.21 0.15 2.33 1.66 0.48

Hit ratio (%) 74 % 49 % 38 % 21 % 33 % 62 % 33 % 64 % 47 % 32 % 27 % 76 %

Funds (#) 234 234 237 237 235 234 234 234 236 238 237 234



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark 3.01 5.79 3.84 2.98 3.89



Funds: top decile 4.59 7.21 4.22 3.13 4.24


Funds: median 1.64 4.70 2.69 1.99 3.16



Net Benchmark 2.95 5.66 3.71 2.85 3.76



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark 3.01 5.79 3.84 2.98 3.89

Net Benchmark 2.95 5.66 3.71 2.85 3.76










Asset Class Deep Dive: Japan Large Cap Go to Glossary



Japan stock with a focus on stocks with small market




Compared to an investment in MSCI Japan net of 0.33 %






MSCI Japan Active Funds (ew)

YtD -6.26 % -6.41 %

1Y 7.18 % 6.82 %

3Y (pa) 3.71 % 2.68 %

5Y (pa) 2.80 % 2.45 %

10Y (pa) 6.92 % 6.40 %

All funds 722





Avg. Active Fee (aw) 0.98 % (0.75 %)

Avg. ETF fee (aw) 0.30 % (0.22 %)


Benchmark MSCI Japan



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -6.26 21.82 -8.48 8.91 5.42 22.05 9.29 21.67 6.52 -11.46 23.48

Net Benchmark -6.39 21.43 -8.79 8.56 5.08 21.66 8.93 21.28 6.18 -11.75 23.08

Funds (ew) -6.41 21.48 -11.94 12.06 5.49 21.20 7.20 21.28 21.28 -10.87 22.23

Funds (aw) -4.85 21.77 -11.27 11.45 6.81 22.18 7.31 21.61 5.21 -9.94 23.38

Hit ratio (%) 44 % 48 % 16 % 73 % 51 % 43 % 33 % 39 % 32 % 56 % 48 %

Funds (#) 181 176 179 181 177 182 194 205 229 247 262





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 10.12 -14.88 4.54 7.73 -0.39 8.59 -12.86 4.22

Net Benchmark 10.06 -14.95 4.46 7.64 -0.47 8.50 -12.93 4.14

Funds (ew) 12.33 -16.74 4.88 7.10 -0.54 8.70 -14.59 3.26

Funds (aw) 14.15 -16.64 4.64 6.61 -0.17 9.34 -14.37 3.44

Hit ratio (%) 69 % 32 % 62 % 37 % 47 % 62 % 23 % 29 %

Reporting funds (#) 185 182 180 185 187 281 192 196



Net Benchmark 4.27 5.55 -7.08 -8.37 -0.12 0.25 1.72 2.43 5.07 0.05 2.39 1.49

Funds (ew) 4.99 6.97 -7.12 -9.36 -1.04 0.34 2.22 2.26 5.30 -0.57 2.32 1.69

Funds (aw) 5.53 8.16 -6.56 -9.75 -1.15 0.11 2.63 1.84 5.26 -0.69 1.99 1.87

Hit ratio (%) 59 % 69 % 50 % 16 % 18 % 55 % 67 % 40 % 58 % 30 % 49 % 58 %

Funds (#) 185 186 183 182 182 181 181 182 185 186 188 191



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -6.26 7.18 3.72 2.79 6.93



Funds: top decile 0.90 17.13 7.38 6.28 8.57


Funds: median -6.81 6.19 2.28 2.24 6.10



Net Benchmark -6.39 6.83 3.38 2.46 6.58



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -6.26 7.18 3.72 2.79 6.93

Net Benchmark -6.39 6.83 3.38 2.46 6.58










Asset Class Deep Dive: UK Large Cap Go to Glossary



UK stock market with a focus on large capitalisations and a




Compared to an investment in FTSE All Share net of 0.10 %






FTSE All Share Active Funds (ew)

YtD -23.50 % -22.94 %

1Y -12.72 % -11.80 %

3Y (pa) -3.91 % -4.50 %

5Y (pa) -3.11 % -4.07 %

10Y (pa) 5.40 % 5.50 %

All funds 448





Avg. Active Fee (aw) 0.82 % (0.44 %)

Avg. ETF fee (aw) 0.22 % (0.10 %)


Benchmark FTSE All Share



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -23.50 26.22 -10.47 8.77 0.81 6.33 8.48 17.77 15.67 -0.95 18.76

Net Benchmark -23.53 26.10 -10.56 8.66 0.71 6.23 8.37 17.66 15.56 -1.05 18.64

Funds (ew) -22.94 26.96 -11.11 7.08 -3.23 8.41 8.25 21.82 21.82 -3.14 19.27

Funds (aw) -22.65 26.36 -10.29 6.80 -2.52 7.98 8.30 20.57 16.96 -2.96 18.96

Hit ratio (%) 55 % 62 % 40 % 35 % 16 % 69 % 47 % 78 % 64 % 27 % 51 %

Funds (#) 137 136 140 139 139 143 150 154 171 169 183





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 6.72 -28.31 8.74 2.42 -0.56 13.97 -10.94 -1.53

Net Benchmark 6.70 -28.33 8.72 2.39 -0.58 13.94 -10.96 -1.55

Funds (ew) 9.52 -29.62 9.62 2.34 -0.40 13.63 -11.80 -1.98

Funds (aw) 9.83 -29.57 9.35 2.48 -0.48 13.30 -11.71 -1.97

Hit ratio (%) 80 % 33 % 64 % 52 % 50 % 60 % 34 % 33 %

Reporting funds (#) 138 137 137 141 141 220 145 147



Net Benchmark -0.20 6.91 -17.47 -10.95 -2.49 3.93 3.40 1.16 5.22 -3.04 0.36 2.43

Funds (ew) -0.89 10.50 -18.93 -11.26 -2.06 3.62 3.99 1.72 4.86 -2.73 0.35 2.01

Funds (aw) -1.11 11.06 -19.00 -11.23 -2.05 3.52 3.90 1.66 4.97 -2.78 0.42 2.15

Hit ratio (%) 28 % 93 % 25 % 29 % 62 % 37 % 82 % 67 % 37 % 59 % 46 % 26 %

Funds (#) 138 138 138 137 138 139 141 140 141 141 141 141



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -23.50 -12.72 -3.91 -3.11 5.40



Funds: top decile -16.00 -4.78 -1.09 -1.74 6.94

Funds: top quartile -19.99 -8.41 -2.55 -2.96 6.35

Funds: median -23.07 -11.98 -4.43 -3.95 5.39



Net Benchmark -23.53 -12.81 -4.01 -3.21 5.30



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -23.50 -12.72 -3.91 -3.11 5.40

Net Benchmark -23.53 -12.81 -4.01 -3.21 5.30










Asset Class Deep Dive: UK Small Cap Go to Glossary



UK stock market, with a focus on small and medium




Compared to an investment in MSCI UK Small Cap net of 0.58 %






MSCI UK Small Cap Active Funds (ew)

YtD -26.39 % -21.79 %

1Y -11.76 % -9.28 %

3Y (pa) -3.39 % -1.32 %

5Y (pa) -2.48 % 0.64 %

10Y (pa) 8.91 % 10.61 %

All funds 133





Avg. Active Fee (aw) 1.07 % (1.11 %)

Avg. ETF fee (aw) 0.58 % (0.58 %)


Benchmark MSCI UK Small Cap



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -26.40 37.75 -15.96 16.35 -7.78 20.86 7.38 33.13 33.91 -9.50 35.78

Net Benchmark -26.59 36.98 -16.45 15.69 -8.32 20.17 6.77 32.37 33.15 -10.03 35.01

Funds (ew) -21.79 33.27 -12.86 21.38 -6.72 20.50 6.77 34.26 34.26 -6.50 36.88

Funds (aw) -20.85 35.89 -14.03 22.42 -7.38 23.04 5.51 34.66 28.19 -6.17 37.76

Hit ratio (%) 71 % 40 % 68 % 83 % 62 % 56 % 40 % 65 % 23 % 75 % 58 %

Funds (#) 68 70 66 64 61 66 67 66 69 71 73





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 13.37 -35.08 16.00 3.35 -1.65 16.83 -16.19 -3.36

Net Benchmark 13.27 -35.19 15.84 3.21 -1.80 16.67 -16.32 -3.50

Funds (ew) 16.38 -32.88 18.46 -0.04 0.79 11.42 -16.17 -1.14

Funds (aw) 16.90 -32.29 18.97 0.70 1.22 12.06 -16.64 -1.04

Hit ratio (%) 72 % 63 % 81 % 11 % 84 % 50 % 44 % 82 %

Reporting funds (#) 68 70 70 70 70 130 68 68



Net Benchmark 0.67 12.51 -25.52 -10.60 -2.67 6.12 5.17 3.79 5.81 -1.59 -0.89 -0.05

Funds (ew) 0.24 16.07 -24.49 -11.99 0.89 7.69 5.91 3.86 3.95 -2.42 -1.47 -2.14

Funds (aw) 0.79 15.98 -23.92 -11.97 1.09 7.83 6.20 3.89 4.10 -2.12 -1.16 -2.37

Hit ratio (%) 38 % 91 % 60 % 14 % 94 % 84 % 69 % 54 % 13 % 30 % 30 % 4 %

Funds (#) 68 68 70 70 70 70 70 70 70 70 70 70



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -26.40 -11.76 -3.39 -2.47 8.91



Funds: top decile -12.88 0.91 6.21 7.25 14.25


Funds: median -22.08 -8.77 -1.36 0.52 11.17



Net Benchmark -26.59 -12.28 -3.95 -3.04 8.29



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -26.40 -11.76 -3.39 -2.47 8.91

Net Benchmark -26.59 -12.28 -3.95 -3.04 8.29










Asset Class Deep Dive: US Aggregate Go to Glossary


This universe covers Europe domiciled funds which invest in US

Dollar denominated bonds across all issuers and durations.



Compared to an investment in Bbg Barclays US Aggregate net of






Bbg Barclays US Aggregate Active Funds (ew)

YtD 6.43 % 3.39 %

1Y 9.61 % 6.05 %

3Y (pa) 5.45 % 3.34 %

5Y (pa) 3.64 % 1.95 %

10Y (pa) 4.95 % 3.63 %

All funds 288





Avg. Active Fee (aw) 0.70 % (0.51 %)

Avg. ETF fee (aw) 0.21 % (0.25 %)


Benchmark Bbg Barclays US Aggregate



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark 6.44 10.71 5.05 -9.04 5.71 12.00 20.67 -6.26 2.63 11.44 13.93

Net Benchmark 6.33 10.44 4.79 -9.27 5.45 11.73 20.37 -6.49 2.37 11.17 13.66

Funds (ew) 3.39 9.74 3.92 -9.21 5.00 10.78 18.21 -6.04 -6.04 7.58 12.02

Funds (aw) 4.91 10.03 4.27 -8.69 5.70 11.56 18.69 -6.16 6.08 7.24 13.71

Hit ratio (%) 26 % 41 % 29 % 47 % 34 % 30 % 21 % 61 % 60 % 14 % 30 %

Funds (#) 87 85 90 92 94 97 94 97 100 103 110





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 0.87 5.52 -2.71 6.83 1.63 4.80 3.27 0.54

Net Benchmark 0.83 5.45 -2.77 6.77 1.57 4.74 3.21 0.48

Funds (ew) 0.80 2.64 -2.52 6.20 1.16 4.75 2.20 0.64

Funds (aw) 2.60 2.25 -2.49 6.27 1.44 4.68 2.51 0.66

Hit ratio (%) 70 % 20 % 70 % 28 % 33 % 69 % 18 % 61 %

Reporting funds (#) 87 87 87 88 87 123 91 92



Net Benchmark -1.09 1.94 -0.50 2.68 3.22 -1.86 1.11 -2.01 0.46 3.70 2.49 -0.94

Funds (ew) -1.69 2.54 -2.19 2.01 2.86 -1.70 1.20 -2.01 0.57 3.09 2.46 -0.93

Funds (aw) -0.49 3.10 -2.67 2.03 2.97 -1.70 1.08 -1.86 0.55 3.21 2.39 -0.80

Hit ratio (%) 72 % 67 % 30 % 17 % 39 % 69 % 66 % 42 % 54 % 26 % 44 % 52 %

Funds (#) 87 87 87 89 89 88 88 88 89 89 88 88



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark 6.44 9.61 5.45 3.64 4.95



Funds: top decile 8.00 10.89 5.58 3.53 5.01


Funds: median 4.76 7.88 4.24 2.61 4.03

Funds: bottom quartile 2.62 4.66 2.93 1.80 3.23

Funds: bottom decile 0.61 3.03 2.01 1.08 2.43

Net Benchmark 6.33 9.34 5.19 3.39 4.69



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark 6.44 9.61 5.45 3.64 4.95

Net Benchmark 6.33 9.34 5.19 3.39 4.69










Asset Class Deep Dive: US Corporate Go to Glossary



Dollar denominated investment grade corporate bonds across all

durations.



Compared to an investment in Bbg Barclays US Corporate net of






Bbg Barclays US Corporate Active Funds (ew)

YtD 3.94 % 3.21 %

1Y 10.23 % 8.06 %

3Y (pa) 6.14 % 4.90 %

5Y (pa) 4.72 % 3.36 %

10Y (pa) 6.53 % 5.21 %

All funds 135





Avg. Active Fee (aw) 0.38 % (0.37 %)

Avg. ETF fee (aw) 0.14 % (0.17 %)


Benchmark Bbg Barclays US Corporate



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark 3.95 16.65 2.40 -6.53 9.27 10.63 22.38 -5.79 8.13 11.77 16.57

Net Benchmark 3.87 16.44 2.21 -6.70 9.08 10.43 22.16 -5.96 7.93 11.57 16.37

Funds (ew) 3.21 14.14 2.83 -7.63 7.72 10.57 19.07 -4.56 -4.56 7.48 13.85

Funds (aw) 3.40 13.41 3.18 -7.22 8.46 9.96 20.45 -5.60 7.92 11.01 13.19

Hit ratio (%) 40 % 36 % 52 % 39 % 23 % 65 % 20 % 76 % 42 % 9 % 34 %

Funds (#) 67 64 61 62 52 48 41 37 33 32 29





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 5.44 -1.42 -1.73 7.64 3.02 7.05 1.41 1.49

Net Benchmark 5.41 -1.46 -1.78 7.59 2.98 7.00 1.37 1.45

Funds (ew) 4.87 -1.57 -1.83 6.88 2.17 6.42 1.28 1.32

Funds (aw) 5.21 -1.72 -1.85 6.71 2.03 6.14 1.41 1.36

Hit ratio (%) 46 % 54 % 45 % 24 % 28 % 64 % 45 % 38 %

Reporting funds (#) 67 68 69 68 68 99 66 68



Net Benchmark -0.01 5.41 -7.00 2.22 3.64 -1.48 1.42 -1.71 0.34 4.26 2.83 0.23

Funds (ew) 0.04 4.81 -6.13 1.74 3.08 -1.40 1.36 -1.77 0.56 3.47 2.73 -0.20

Funds (aw) 0.07 5.14 -6.43 1.87 3.10 -1.42 1.30 -1.72 0.52 3.40 2.67 -0.28

Hit ratio (%) 54 % 41 % 68 % 13 % 28 % 65 % 36 % 41 % 71 % 26 % 35 % 34 %

Funds (#) 68 68 68 68 69 69 70 71 69 69 68 68



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark 3.95 10.23 6.14 4.72 6.52



Funds: top decile 5.40 11.59 6.45 4.75 6.45


Funds: median 3.15 8.75 5.05 3.43 5.73



Net Benchmark 3.87 10.03 5.95 4.53 6.33



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark 3.95 10.23 6.14 4.72 6.52

Net Benchmark 3.87 10.03 5.95 4.53 6.33










Asset Class Deep Dive: US Government Go to Glossary



Dollar denominated government bonds across all durations.



Compared to an investment in Bbg Barclays US Treasury net of






Bbg Barclays US Treasury Active Funds (ew)

YtD 9.60 % 6.60 %

1Y 11.58 % 7.80 %

3Y (pa) 5.87 % 4.05 %

5Y (pa) 3.57 % 2.28 %

10Y (pa) 4.61 % 3.61 %

All funds 147





Avg. Active Fee (aw) 0.33 % (0.19 %)

Avg. ETF fee (aw) 0.10 % (0.09 %)


Benchmark Bbg Barclays US Treasury



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark 9.61 8.82 5.95 -10.15 4.05 12.34 19.63 -6.96 0.42 13.50 13.22

Net Benchmark 9.52 8.60 5.74 -10.33 3.84 12.11 19.39 -7.15 0.22 13.27 12.99

Funds (ew) 6.60 7.63 4.51 -9.82 3.44 10.52 17.33 -6.92 -6.92 10.00 11.18

Funds (aw) 6.41 7.32 4.11 -9.96 3.34 10.83 17.36 -6.29 0.82 10.16 11.86

Hit ratio (%) 20 % 27 % 31 % 43 % 36 % 9 % 33 % 50 % 53 % 10 % 22 %

Funds (#) 35 33 32 28 33 32 33 38 38 40 40





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark -0.98 10.70 -3.64 6.97 1.56 3.95 4.21 -0.07

Net Benchmark -1.02 10.64 -3.69 6.92 1.51 3.90 4.16 -0.12

Funds (ew) -0.77 7.45 -3.19 6.14 1.04 3.93 3.10 -0.05

Funds (aw) -0.81 7.29 -3.05 5.55 0.98 3.85 2.98 -0.03

Hit ratio (%) 60 % 17 % 69 % 26 % 24 % 62 % 15 % 59 %

Reporting funds (#) 35 35 35 34 33 50 34 34



Net Benchmark -1.80 0.79 2.99 3.54 3.75 -2.34 0.86 -2.23 0.14 4.52 2.14 -1.26

Funds (ew) -1.58 0.82 1.51 2.60 3.13 -2.04 1.01 -2.16 0.30 3.64 2.08 -1.12

Funds (aw) -1.45 0.64 1.50 2.63 2.99 -1.96 0.97 -2.06 0.49 2.83 2.14 -1.17

Hit ratio (%) 69 % 34 % 31 % 17 % 29 % 71 % 71 % 40 % 57 % 29 % 59 % 48 %

Funds (#) 35 35 35 35 35 35 35 35 35 35 34 33



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark 9.61 11.58 5.87 3.57 4.61



Funds: top decile 9.81 11.57 5.88 3.38 4.90


Funds: median 5.76 7.31 4.06 2.31 3.71



Net Benchmark 9.52 11.36 5.65 3.36 4.40



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark 9.61 11.58 5.87 3.57 4.61

Net Benchmark 9.52 11.36 5.65 3.36 4.40










Asset Class Deep Dive: US High Yield Go to Glossary



Dollar denominated High Yield bonds across all durations.



Compared to an investment in Bbg Barclays US High Yield net of






Bbg Barclays US High Yield Active Funds (ew)

YtD -3.86 % -4.39 %

1Y 1.51 % 0.22 %

3Y (pa) 3.42 % 2.37 %

5Y (pa) 3.97 % 2.52 %

10Y (pa) 7.76 % 6.33 %

All funds 102





Avg. Active Fee (aw) 0.65 % (0.65 %)

Avg. ETF fee (aw) 0.40 % (0.48 %)


Benchmark Bbg Barclays US High Yield



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -3.85 16.42 2.87 -5.57 20.64 6.43 16.68 2.81 14.03 8.48 23.11

Net Benchmark -4.04 15.87 2.37 -6.02 20.07 5.92 16.13 2.32 13.49 7.96 22.53

Funds (ew) -4.39 14.97 2.20 -6.48 16.41 6.90 15.12 1.93 1.93 6.07 22.23

Funds (aw) -4.31 14.77 2.35 -6.77 15.14 6.78 14.59 1.78 11.45 6.37 20.65

Hit ratio (%) 45 % 45 % 36 % 36 % 13 % 66 % 32 % 30 % 25 % 31 % 44 %

Funds (#) 84 82 80 70 62 56 50 47 40 35 32





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 7.63 -10.67 -0.34 5.85 1.06 9.20 -3.00 2.95

Net Benchmark 7.55 -10.78 -0.46 5.73 0.94 9.07 -3.12 2.83

Funds (ew) 6.58 -10.24 -0.64 5.80 0.78 8.50 -2.90 2.59

Funds (aw) 6.59 -10.23 -0.54 5.81 0.70 8.30 -2.79 2.57

Hit ratio (%) 35 % 50 % 42 % 61 % 45 % 61 % 50 % 33 %

Reporting funds (#) 84 84 85 84 84 135 82 83



Net Benchmark 2.77 4.65 -11.40 -0.57 1.28 0.15 1.47 -2.05 1.34 1.47 2.82 0.04

Funds (ew) 2.57 3.90 -10.95 -0.53 1.31 -0.12 1.47 -1.97 1.46 1.49 2.74 -0.18

Funds (aw) 2.53 3.96 -10.80 -0.57 1.22 -0.08 1.52 -1.95 1.43 1.53 2.74 -0.21

Hit ratio (%) 45 % 27 % 54 % 47 % 49 % 28 % 48 % 65 % 73 % 64 % 45 % 37 %

Funds (#) 84 84 84 85 85 85 85 85 84 84 84 84



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -3.85 1.51 3.43 3.98 7.77



Funds: top decile -1.14 3.29 3.79 3.68 7.56


Funds: median -4.31 0.89 2.56 2.74 6.40

Funds: bottom quartile -5.80 -1.01 1.79 2.11 5.80

Funds: bottom decile -6.89 -2.71 0.98 1.36 5.09

Net Benchmark -4.04 1.03 2.93 3.48 7.25



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -3.85 1.51 3.43 3.98 7.77

Net Benchmark -4.04 1.03 2.93 3.48 7.25










Asset Class Deep Dive: US Large Cap Blend Go to Glossary



US stock market with a focus on large capitalisations and a




Compared to an investment in MSCI USA net of 0.12 % (average






MSCI USA Active Funds (ew)

YtD -3.72 % -5.14 %

1Y 12.99 % 8.80 %

3Y (pa) 10.19 % 7.39 %

5Y (pa) 8.87 % 6.17 %

10Y (pa) 13.63 % 10.75 %

All funds 985





Avg. Active Fee (aw) 0.85 % (0.35 %)

Avg. ETF fee (aw) 0.28 % (0.09 %)


Benchmark MSCI USA



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -3.72 33.28 -0.26 6.47 14.22 12.15 28.32 26.09 13.55 4.76 22.73

Net Benchmark -3.76 33.13 -0.37 6.34 14.08 12.02 28.17 25.95 13.42 4.63 22.59

Funds (ew) -5.14 29.95 -3.11 4.88 12.02 8.87 25.13 24.91 24.91 1.19 19.33

Funds (aw) -4.61 30.73 -2.84 5.35 11.83 9.06 25.96 24.50 10.48 1.19 19.84

Hit ratio (%) 35 % 25 % 21 % 29 % 28 % 18 % 24 % 40 % 15 % 19 % 15 %

Funds (#) 343 324 328 310 300 301 288 290 303 317 328





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 17.31 -17.92 5.83 5.93 2.67 15.80 -12.42 7.92

Net Benchmark 17.29 -17.95 5.80 5.90 2.64 15.77 -12.45 7.89

Funds (ew) 16.10 -18.30 5.04 5.00 2.45 14.88 -12.92 6.78

Funds (aw) 16.42 -18.06 5.43 5.21 2.44 15.05 -13.17 7.09

Hit ratio (%) 30 % 51 % 33 % 31 % 45 % 57 % 36 % 24 %

Reporting funds (#) 349 347 342 345 352 550 347 342



Net Benchmark 3.51 13.31 -12.64 -7.41 1.44 1.05 4.91 -0.20 2.76 -0.73 3.81 4.67

Funds (ew) 3.03 12.68 -12.60 -7.87 1.48 0.66 4.81 -0.43 2.34 -1.46 4.12 4.08

Funds (aw) 2.99 13.04 -12.09 -8.28 1.63 0.83 4.82 -0.25 2.41 -1.40 4.19 4.10

Hit ratio (%) 34 % 32 % 53 % 39 % 45 % 30 % 46 % 40 % 39 % 31 % 57 % 31 %

Funds (#) 350 351 350 353 351 348 349 345 348 350 357 356



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -3.72 12.99 10.19 8.87 13.63



Funds: top decile 0.12 15.35 11.41 9.19 12.83


Funds: median -4.72 9.54 7.59 6.37 10.96


Funds: bottom decile -11.60 -0.12 3.27 2.59 8.26

Net Benchmark -3.76 12.86 10.06 8.74 13.50



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -3.72 12.99 10.19 8.87 13.63

Net Benchmark -3.76 12.86 10.06 8.74 13.50










Asset Class Deep Dive: US Small Cap Go to Glossary



US stock market with a focus on stocks with small market




Compared to an investment in Russell 2000 net of 0.35 %






Russell 2000 Active Funds (ew)

YtD -15.33 % -7.61 %

1Y -3.69 % 2.57 %

3Y (pa) 1.94 % 6.07 %

5Y (pa) 3.00 % 5.35 %

10Y (pa) 9.87 % 10.00 %

All funds 157





Avg. Active Fee (aw) 1.17 % (1.05 %)

Avg. ETF fee (aw) 0.36 % (0.30 %)


Benchmark Russell 2000



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -15.33 27.28 -6.89 0.30 24.39 6.08 19.00 32.34 14.06 -1.36 35.16

Net Benchmark -15.46 26.84 -7.22 -0.05 23.96 5.71 18.58 31.88 13.66 -1.71 34.70

Funds (ew) -7.61 29.50 -5.00 4.16 19.71 7.00 16.68 31.68 31.68 -3.17 33.68

Funds (aw) -6.06 31.19 -6.17 2.20 20.83 6.25 17.76 31.66 10.23 -2.53 31.98

Hit ratio (%) 66 % 65 % 56 % 67 % 29 % 63 % 29 % 55 % 28 % 44 % 37 %

Funds (#) 68 62 61 61 58 57 55 49 46 45 46





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 19.42 -29.10 6.66 1.83 0.56 16.53 -19.02 4.02

Net Benchmark 19.36 -29.17 6.57 1.74 0.47 16.43 -19.09 3.93

Funds (ew) 23.43 -25.26 5.82 1.76 1.99 17.55 -18.50 5.18

Funds (aw) 23.49 -23.93 5.59 2.44 2.79 18.00 -18.25 5.04

Hit ratio (%) 75 % 63 % 32 % 58 % 65 % 65 % 62 % 60 %

Reporting funds (#) 69 68 68 64 66 94 64 65



Net Benchmark 4.80 13.89 -21.72 -7.67 -2.00 0.98 5.28 0.24 3.03 -3.96 2.82 4.69

Funds (ew) 6.27 16.04 -19.70 -7.64 0.66 0.29 5.69 -0.23 1.04 -3.45 4.14 4.22

Funds (aw) 6.52 15.93 -18.44 -8.15 1.54 0.23 5.90 -0.52 1.07 -3.22 4.72 4.48

Hit ratio (%) 59 % 77 % 65 % 47 % 76 % 32 % 49 % 32 % 34 % 60 % 77 % 30 %

Funds (#) 70 69 69 68 68 68 69 69 67 65 64 66



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -15.33 -3.69 1.93 2.99 9.87



Funds: top decile 5.93 17.58 15.99 10.66 14.03


Funds: median -8.51 0.29 4.00 4.80 9.44


Funds: bottom decile -20.84 -11.26 -2.99 0.00 6.56

Net Benchmark -15.46 -4.03 1.57 2.63 9.48



YtD 1Y 3Y 5Y 10Y





YtD 1Y 3Y 5Y 10Y

Benchmark -15.33 -3.69 1.93 2.99 9.87

Net Benchmark -15.46 -4.03 1.57 2.63 9.48










Asset Class Deep Dive: World Large Cap Go to Glossary



globally in equities with a focus on large market capitalisations

and a balanced investment style.



Compared to an investment in MSCI World net of 0.27 % (average






MSCI World Active Funds (ew)

YtD -7.36 % -8.40 %

1Y 6.98 % 3.30 %

3Y (pa) 6.30 % 2.81 %

5Y (pa) 5.54 % 2.62 %

10Y (pa) 10.36 % 7.48 %

All funds 2515





Avg. Active Fee (aw) 0.96 % (0.72 %)

Avg. ETF fee (aw) 0.31 % (0.25 %)


Benchmark MSCI World



YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Benchmark -7.37 30.03 -4.11 7.50 10.71 10.43 19.51 21.22 14.05 -2.39 19.55

Net Benchmark -7.47 29.68 -4.37 7.21 10.41 10.14 19.20 20.90 13.74 -2.65 19.23

Funds (ew) -8.40 25.72 -8.02 7.86 6.56 8.74 14.42 17.29 17.29 -7.15 15.75

Funds (aw) -8.32 27.70 -6.81 8.56 8.07 9.60 16.57 18.82 13.19 -6.58 18.37

Hit ratio (%) 41 % 22 % 18 % 58 % 19 % 38 % 19 % 28 % 33 % 20 % 30 %

Funds (#) 1,167 1,037 963 910 898 865 820 823 835 828 834





QtD 20 Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18

Benchmark 14.70 -19.24 5.44 5.02 2.54 14.51 -12.02 5.53

Net Benchmark 14.65 -19.30 5.37 4.95 2.47 14.44 -12.08 5.46

Funds (ew) 12.88 -18.81 5.40 3.51 1.94 12.99 -12.11 3.53

Funds (aw) 13.63 -19.32 5.94 4.00 2.13 13.49 -12.15 4.27

Hit ratio (%) 29 % 55 % 54 % 20 % 37 % 54 % 47 % 16 %

Reporting funds (#) 1,201 1,178 1,137 1,108 1,088 1,804 1,046 1,048



Net Benchmark 3.20 11.10 -13.16 -7.66 0.65 1.15 3.98 0.19 3.14 -0.98 2.77 4.28

Funds (ew) 2.47 10.14 -12.72 -7.31 0.34 1.34 3.59 0.38 2.68 -1.64 2.48 3.59

Funds (aw) 2.58 10.78 -12.96 -7.78 0.52 1.40 3.88 0.57 2.82 -1.65 2.85 3.88

Hit ratio (%) 32 % 37 % 58 % 57 % 41 % 56 % 35 % 61 % 36 % 28 % 40 % 27 %

Funds (#) 1,202 1,205 1,197 1,187 1,187 1,172 1,160 1,148 1,135 1,130 1,118 1,107



2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)






YtD 1Y 3Y 5Y 10Y

Benchmark -7.37 6.98 6.29 5.53 10.36



Funds: top decile -2.12 10.37 6.91 5.53 9.88


Funds: median -8.37 3.61 3.07 2.84 7.77

Funds: bottom quartile -11.08 -0.28 0.89 1.15 6.40


Net Benchmark -7.47 6.70 6.01 5.25 10.07



YtD 1Y 3Y 5Y 10Y

Reporting funds 1,167 1,059 826 691 475

All funds = reporting + non-reporting 1,184 1,098 986 920 882



YtD 1Y 3Y 5Y 10Y

Benchmark -7.37 6.98 6.29 5.53 10.36

Net Benchmark -7.47 6.70 6.01 5.25 10.07










Knowing your risk It is important for potential investors to evaluate the risks described below and in the fund prospectus on our website www.lyxoretf.com Capital at risk ETFs are tracking instruments: Their risk profile is similar to a direct investment in the Underlying index. Investors’ capital is fully at risk and investors may not get back the amount originally invested. Replication risk The fund objectives might not be reached due to unexpected events on the underlying markets which will impact the index calculation and the efficient fund replication. Counterparty risk With synthetic ETFs, investors are exposed to risks resulting from the use of an OTC swap with Societe Generale. In-line with UCITS guidelines, the exposure to Société Générale cannot exceed 10% of the total fund assets. Physically replicated ETFs may have counterparty risk if they use a securities lending programme. Concentration Risk Thematic and Smart Beta ETFs select stocks or bonds for their portfolio from the original benchmark index. Where selection rules are extensive it can lead to a more concentrated portfolio where risk is spread over fewer stocks than the original benchmark.

Underlying risk The Underlying index of a Lyxor ETF may be complex and volatile. For example, when investing in commodities, the Underlying index is calculated with reference to commodity futures contracts exposing the investor to a liquidity risk linked to costs such as cost of carry and transportation. ETFs exposed to Emerging Markets carry a greater risk of potential loss than investment in Developed Markets as they are exposed to a wide range of unpredictable Emerging Market risks. Currency risk ETFs may be exposed to currency risk if the ETF is denominated in a currency different to that of the Underlying index they are tracking. This means that exchange rate fluctuations could have a negative or positive effect on returns. Liquidity risk Liquidity is provided by registered market-makers on the respective stock exchange where the ETF is listed, including Societe Generale. On exchange, liquidity may be limited as a result of a suspension in the underlying market represented by the Underlying index tracked by the ETF; a failure in the systems of one of the relevant stock exchanges, or other market-maker systems; or an abnormal trading situation or event.

Important information This message is a product of LIAM sales group and is not a product of LIAM Cross Asset Research Department. It is not intended for use by or targeted at retail clients. The circumstances in which this message has been produced are such that it may not be characterised as independent investment research and should be treated as a marketing communication even if it contains a research recommendation. For more, visit our global research disclosure website www.lyxoretf.com/compliance. This document is for the exclusive use of investors acting on their own account and categorised either as “eligible counterparties” or “professional clients” within the meaning of markets in financial instruments directive 2014/65/EU. This communication is not directed at retail clients. Except in the UK, where the document is issued by Lyxor Asset Management UK LLP, which is authorized and regulated by the Financial Conduct Authority in the UK under Registration Number 435658, this document is issued by Lyxor International Asset Management (LIAM), a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2014/91/EU) and AIFM (2011/61/EU) Directives. Société Générale is a French credit institution (bank) authorised by the Autorité de contrôle prudentiel et de résolution (the French Prudential Control Authority). Some of the funds described in this brochure are sub-funds of either Multi Units Luxembourg or Lyxor Index Fund, being both investment companies with Variable Capital (SICAV) incorporated under Luxembourg Law, listed on the official list of Undertakings for Collective Investment, and have been approved and authorised by the CSSF under Part I of the Luxembourg Law of 17th December 2010 (the “2010 Law”) on Undertakings for Collective Investment in accordance with provisions of the Directive 2009/65/EC (the “2009 Directive”) and subject to the supervision of the Commission de Surveillance du Secteur Financier (CSSF). Alternatively, some of the funds described in this document are either (i) French FCPs (fonds commun de placement) or (ii) sub-funds of Multi Units France a French SICAV, both the French FCPs and sub-funds of Multi Units France are incorporated under the French Law and approved by the French Autorité des marchés financiers. Each fund complies with the UCITS Directive (2009/65/CE) and has been approved by the French Autorité des marchés financiers. Société Générale and Lyxor AM recommend that investors read carefully the “risk factors” section of the product’s prospectus and Key Investor Information Document (KIID). The prospectus and the KIID are available in French on the website of the AMF (www.amf-france.org). The prospectus in English and the KIID in the relevant local language (for all the countries referred to, in this document as a country in which a public offer of the product is authorised) are available free of charge on Lyxor etf. com or upon request to client-services-etf@ lyxor.com. The products are the object of market-making contracts, the purpose of which is to ensure the liquidity of the products on NYSE Euronext Paris, Deutsche Boerse (Xetra) and the London Stock Exchange, assuming normal market conditions and normally functioning computer systems. Units of a specific UCITS ETF managed by an asset manager and purchased on the secondary market cannot usually be sold directly back to the asset manager itself.

Investors must buy and sell units on a secondary market with the assistance of an intermediary (e.g. a stockbroker) and may incur fees for doing so. In addition, investors may pay more than the current net asset value when selling them. Updated composition of the product’s investment portfolio is available on www. lyxoretf.com. In addition, the indicative net asset value is published on the Reuters and Bloomberg pages of the product and might also be mentioned on the websites of the stock exchanges where the product is listed. Prior to investing in the product, investors should seek independent financial, tax, accounting and legal advice. It is each investor’s responsibility to ascertain that it is authorised to subscribe or invest into this product. This document together with the prospectus and/or more generally any information or documents with respect to or in connection with the Fund does not constitute an offer for sale or solicitation of an offer for sale in any jurisdiction (i) in which such offer or solicitation is not authorized, (ii) in which the person making such offer or solicitation is not qualified to do so, or (iii) to any person to whom it is unlawful to make such offer or solicitation. In addition, the shares are not registered under the U.S Securities Act of 1933 and may not be directly or indirectly offered or sold in the United States (including its territories or possessions) or to or for the benefit of a U.S Person (being a “United State Person” within the meaning of Regulation S under the Securities Act of 1933 of the United States, as amended, and/or any person not included in the definition of “Non-United States Person” within the meaning of Section 4.7 (a) (1) (iv) of the rules of the U.S. Commodity Futures Trading Commission.). No U.S federal or state securities commission has reviewed or approved this document and more generally any documents with respect to or in connection with the fund. Any representation to the contrary is a criminal offence. This document is of a commercial nature and not of a regulatory nature. This document does not constitute an offer, or an invitation to make an offer, from Société Générale, Lyxor Asset Management (together with its affiliates, Lyxor AM) or any of their respective subsidiaries to purchase or sell the product referred to herein. These funds include a risk of capital loss. The redemption value of this fund may be less than the amount initially invested. The value of this fund can go down as well as up and the return upon the investment will therefore necessarily be variable. In a worst-case scenario, investors could sustain the loss of their entire investment. This document is confidential and may be neither communicated to any third party (with the exception of external advisors on the condition that they themselves respect this confidentiality undertaking) nor copied in whole or in part, without the prior written consent of Lyxor AM or Société Générale. The obtaining of the tax advantages or treatments defined in this document (as the case may be) depends on each investor’s particular tax status, the jurisdiction from which it invests as well as applicable laws. This tax treatment can be modified at any time. We recommend to investors who wish to obtain further information on their tax status that they seek assistance from their tax advisor. The attention of the investor is drawn to the fact that the net asset value stated in this document (as the case may be) cannot be used as a basis for subscriptions and/or redemptions. The market information displayed in this document is based on data at a given moment and may change from time to time.



For investors in Switzerland This document has been provided by Lyxor International Asset Management that is solely responsible for its content. This document is not to be deemed distribution of funds in Switzerland according to the Swiss collective investment schemes act of 23 June 2006 (as amended from time to time, CISA) or any other applicable Swiss laws or regulations. This document is reserved and must be given in Switzerland exclusively to Qualified Investors as defined by the Swiss Collective Investment Scheme Act of 23 June 2006 (as amended from time to time, CISA). Financial intermediaries (including particularly, representatives of private banks or independent asset managers, Intermediaries) are hereby reminded on the strict regulatory requirements applicable under the CISA to any distribution of foreign collective investment schemes in Switzerland. It is each Intermediary’s sole responsibility to ensure that (i) all these requirements are put in place prior to any Intermediary distributing any of the Funds presented in this document and (ii) that otherwise, it does not take any action that could constitute distribution of collective investment schemes in Switzerland as defined in article 3 CISA and related regulation. Any information in this document is given only as of the date of this document and is not updated as of any date thereafter. This document is for information purposes only and does not constitute an offer, an invitation to make an offer, a solicitation or recommendation to invest in collective investment schemes. This document is not a prospectus as per article 652a or 1156 of the Swiss Code of Obligations, a listing prospectus according to the listing rules of the SIX Swiss Exchange or any other trading venue as defined by the Swiss Financial Market Infrastructure Act of 19 June 2015 (as amended from time to time, FMIA), a simplified prospectus, a key investor information document or a prospectus as defined in the CISA. An investment in collective investment schemes involves significant risks that are described in each prospectus or offering memorandum. Each potential investor should read the entire prospectus or offering memorandum and should carefully consider the risk warnings and disclosures before making an investment decision. Any benchmarks/indices cited in this document are provided for information purposes only. This document is not the result of a financial analysis and therefore is not subject to the “Directive on the Independence of Financial Research” of the Swiss Bankers Association. This document does not contain personalized recommendations or advice and is not intended to substitute any professional advice on investments in financial products. Important information for German and Austrian Investors For professional investors - not suitable for private investors This publication is an advertising client information and is for informational purposes only and does not constitute an individual investment recommendation or an offer to buy or sell or trade securities or other financial instruments. This information does not meet all legal requirements for the impartiality of investment recommendations and is not subject to any prohibition of trading prior to publication. All sources of information have been classified as reliable and no guarantee is given for external sources of information. This elaboration alone does not replace individual investor- and investment-oriented advice. Before investing in the funds, the investor should seek independent financial, tax, legal and, where appropriate, accounting advice. As an investor, you should consider the risks you face with investing in ETFs. In particular, when subscripting and purchasing ETF shares, the investor should be aware that ETFs involve certain risks and that the repayment may be below the value of the capital used and that, at worst, a total loss may occur. A comprehensive description of the fund’s terms and conditions and associated risks can be found in the respective prospectus and the key investor information (KIID, in German), which, like the annual and semi-annual reports in paper form, available free of charge from Lyxor International Asset Management S.A.S. Deutschland (Lyxor Deutschland), Neue Mainzer Strasse 46-50, 60311 Frankfurt am Main, in Austria from Erste Bank der österreichischen Sparkassen AG, Am Belvedere 1, A-100 Vienna, who acts as paying agent and tax representative and under www.lyxoretf.com in English. The tax treatment depends on the individual circumstances of each investor and may change in the future. The current composition of the investment portfolio of the respective ETF can be found under www.lyxoretf.com. The indicative net asset value is published on the corresponding websites for the ETF product of Reuters and Bloomberg and, if applicable, also reported on the websites of the exchanges on which the product is listed. Professional advice should be sought before making an investment decision. The drafting is not intended for distribution to or use by persons or entities having the citizenship of a country or domicile dwell in a country or judicial district where the distribution, publication or use of such information is prohibited. Each investor is responsible for verifying that he/she is entitled to subscribe or investment in the respective ETFs. The fund is not registered under the United States Securities Act of 1933 or the United States Investment Company Act of 1940 and may not be registered, directly or indirectly, in the United States of America, including its territories and properties. or other jurisdictions under its jurisdiction or to or on the basis of any U.S. citizen. This document is confidential and may not be passed on or reproduced in whole or in part to third parties without the prior written permission of Lyxor Germany. This document is issued by Lyxor International Asset Management (LIAM), a French limited-liability company established on 12 June 1998 by the French Autorité des Marchés Financiers (“AMF”) as a management company. registered office in 17 Cours Valmy, Tour Société Générale, 92800 Puteaux, France and registered with the Registre de Commerce et des Sociétés in Nanterre. ©2020 Lyxor Asset Management. All rights reserved. As of June 2020.

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